Automated linked order processing

ABSTRACT

An order room creates a linked order comprising a list of orders. The order room instructs trading processes to perform market discovery for the orders in the linked order. The trading processes, as well as market processes, operate on a platform. If an objective function is satisfied within a threshold determined by the order room, the linked order is sent to a platform process, which executes the orders only if each of the orders can be executed at a specified price. Generally, before sending the linked order to the platform process, the order room instructs its trading processes to obtain short term options from market processes, and then sends the short term options to the platform process. The platform process can adjust the expiration time of the short term options to guarantee the execution prices of the orders in the linked order.

CROSS-REFERENCE TO RELATED APPLICATIONS

This application is related to U.S. patent application Ser. Nos.09/546,031, 09/801,490; 09/801,495; 09/801,583; 09/801,588; 09/801,848;09/802,005; 09/802,025; 09/802,088, now U.S. Pat. No. 7,383,220; Ser.Nos. 09/802,161; 09/802,163; 09/802,169, now U.S. Pat. No. 7,398,244;Ser. Nos. 09/802,223; 09/802,237; 09/803,615; 11/469,378; 11/469,385;11/515,356; 11/515,230; 11/515,231; 11/515,502; 11/469,466; 11/469,470,now U.S. Pat. No. 7,383,222; Ser. Nos. 11/514,714; and 11/515,362, allof which are owned by the assignee of the present application.

The present application is a continuation-in-part of U.S. applicationSer. No. 09/546,031, filed Apr. 10, 2000 now U.S. Pat. No. 8,296,215,which is hereby incorporated by reference.

BACKGROUND OF THE INVENTION

The present invention relates to trading systems such as for financialinstruments and other goods and services, and more particularly, isdirected to a system that forms a platform for processes that can beflexibly configured to interact with each other.

Conventional financial instrument trading systems assume a particularset of rules and protocols must be used during trading. However, thefinancial industry is a hotbed of rapidly changing ideas and trends;because the development time and expense associated with a conventionaltrading system cannot change accordingly, financial innovation isstifled.

Due to the rapid proliferation of methodologies and competitors,practitioners are experiencing increasing difficulty in finding bestmarkets, as required by their fiduciary obligations.

Meanwhile, the stress of person-to-person trading is increasing as thevolume of information that must be assimilated by an individual traderincreases. Despite the ever faster pace of financial markets, there is adesire to give each party's order the sort of personalized service thatbecomes increasingly difficult with the increasing market pace.

On the other hand, the rate at which the structure of financial marketschanges is slow, in part due to the huge technology costs. The costsinclude building new systems and connecting practitioners to the newsystems.

Finally, personal relationships remain key in large trades, that is,computer-based trading technology has not been adopted by large blocktraders, who still rely on the telephone. This fact has not beenaccommodated in conventional trading systems, which generally requirepractitioners to change their practices to what can be readily automatedfrom a system implementer's viewpoint; private interpersonal agreementsand arrangements have been considered unsuitable for automation inconventional trading systems.

Accordingly, there is a need for a fresh methodology for developingfinancial instrument trading systems.

SUMMARY OF THE INVENTION

In accordance with an aspect of this invention, there is provided amethod of facilitating trading. A list of order is automaticallyreceived, each order including an item and associated price andassociated quantity. It is automatically determined whether all of theorders on the list are executable at the respective prices. It isautomatically decided whether to execute all of the orders on the listbased on the determination.

In a further aspect, the list is associated with an objective function.

In accordance with another aspect of this invention, there is provided amethod of facilitating trading. It is automatically determined that alinked order should be executed, the linked order including individualorders respectively associated with prices and quantities. The linkedorder is automatically sent to an execution process for execution suchthat the individual orders are executed only if all of the individualorders can be executed at the associated prices.

It is not intended that the invention be summarized here in itsentirety. Rather, further features, aspects and advantages of theinvention are set forth in or are apparent from the followingdescription and drawings.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 is a block diagram of a trading system platform used with thepresent methodology;

FIG. 2 is an overall flowchart of operation of an order ELF;

FIG. 3 is a flowchart of the operational phase of a data ELF;

FIG. 4 is a flowchart of the operational phase of a mirror ELF;

FIG. 5 is an overall flowchart of an order umpire;

FIG. 6 is a flowchart of the operational phase for an evaluation umpire;

FIGS. 7-10, 12 and 14-15 are flowcharts referred to when describingplatform services 60;

FIGS. 11 and 13 are charts referred to when describing platform services60;

FIG. 16 is a flowchart of the set-up phase for an order ELF;

FIGS. 17-20 are diagrams of data structures used by an order ELF;

FIGS. 21-43 are a flowchart of the operational phase for an order ELF;

FIG. 44 is a flowchart of the set-up phase for an order umpire;

FIG. 45 is a diagram of a data structure used by an order umpire;

FIGS. 46-92 are a flowchart of the operational phase for an orderumpire;

FIG. 93A is a chart showing processing of a market data order in system5;

FIG. 93B is a chart showing processing of a limit order in system 5;

FIG. 93C is a chart showing processing that prevents duplicate orderexecution;

FIG. 94 is a chart showing processing of a cancel order when a mirrorELF is involved;

FIG. 95 is a flowchart showing a template for umpire action processingwhen a mirror ELF is involved;

FIG. 96 is a flowchart for the order room linked order controller;

FIG. 97 is a chart showing processing of a linked order in system 5;

FIG. 98 is a chart showing processing of a trial order in system 5;

FIG. 99 is a chart showing processing during auction discovery in system5;

FIG. 100 is a chart showing superbook processing during execution insystem 5;

FIG. 101 is a chart showing obtaining discovery from market participantsin system 5;

FIG. 102 is a chart showing automated negotiation in system 5; and

FIG. 103 is a chart showing stop order processing in system 5.

DETAILED DESCRIPTION

The present trading system provides a platform for trading various itemsusing an architecture that combines the flexibility of a telephone withthe speed and multiprocessing character of a computer. This descriptionof the trading system includes the following sections:

-   -   Overview of trading system    -   Examples of services provided using the trading system    -   Platform services    -   Order ELF setup    -   Order ELF operation    -   Order umpire setup    -   Order umpire operation    -   Use Cases

It will be appreciated that many aspects of the system are not describedfor brevity. For example, the system is assumed to execute using afault-tolerant operating system that guarantees transactional integritysuch as Compaq (Tandem) Transaction Protection Facility or BEA Tuxedo.Transaction protection not only provides transactional integrity in thetraditional sense, it also provides for back-out following the detectionof race conditions.

Overview of trading system Overview: Platform

Referring now to the drawings, and in particular to FIG. 1, there isillustrated a block diagram showing the components used with the presentmethodology. System 5 is a general purpose computer or network ofcomputers programmed in accordance with the present invention andfunctions as a platform for allowing electronic liquidity finder (ELF)programs and umpire programs to interact. The platform of system 5embodies a protocol for standardizing market trading methodologies,order representation and processing, and data formats. System 5 providesplatform services 60 to the ELFs and umpires active within system 5.Platform services 60 includes, among other things, linked orderexecution manager 61, platform status monitor 62, contra-partypreference updating 63, system status board 64C, market status board 65,broadcast services 66 and stop order manager 67.

In conventional securities trading systems, the term “platform” usuallyindicates a system for mapping data from disparate data sources onto oneor more display screens to aid in comprehension of the data by asecurities trader. An objective of a conventional platform is to make iteasier for the securities trader to communicate with disparate datasources. In contrast, as used herein and in the claims, the term“platform” indicates a computer system for supporting software processesthat can exist independently of each other and that communicate witheach other in a standardized manner. That is, the platform makes iteasier for processes to communicate with each other.

System status board process 64C operates in association with systemstatus board data structure 74, shown in FIG. 11. Market status boardprocess 65 operates in association with market status board datastructure 75, shown in FIG. 13.

The platform of system 5 also includes order ELFs (oEs) 10, 11, 12; dataELFs (dEs) 20, 55; order umpires (oUs) 30, 31, 32, 33; evaluation umpire(eU) 40; and mirror ELFs (mEs) 50, 51, 52 and 53. oUs 31 and 32 arecoupled via mE 51. Order room 70 is coupled to oEs 10 and 11, andincludes linked order controller 71. Order room 72 is coupled to oE 12and dE 20. External markets 80, 82 and 83 are coupled to mEs 50, 52 and53, respectively.

An ELF may be thought of as a virtual floor broker that operates atelectronic speeds. Forming an ELF is the culmination of a procedureinvolving configuring an order-handling program with specifications froma trader, and executing the configured program on the platform of system5 to create an order handling engine, also referred to herein as atrading process. An order ELF may be coupled to as many order umpires asdesired.

An order umpire may be thought of as a formal or informal market thatdefines and implements the rules of engagement by which information ormerchandise is exchanged between ELFs. An umpire is formed byconfiguring a market program with configurations from a market provider,and executing the configured program on the platform of system 5 tocreate a market process. Generally, if activity in multiple markets isdesirable, an order ELF elects to couple to multiple umpires associatedwith such markets, rather than expecting the umpires to link with eachother.

An umpire publishes its rules and ELFs either agree to those rules byregistering with that umpire, or they do not register. Registration withan umpire is required before an ELF can avail itself of the services ofthe umpire.

An ELF may elect to join the “crowd” for an umpire. An ELF crowdfunctions in a manner similar to crowds on trading floors. Crowd memberstake priority behind orders in an order book but otherwise have thetime/place immediacy advantage of a floor such as ability to bid on“imbalances” at a price, and ability to interact with one another. Timeis not necessarily a key priority in all trading methodologies. Forexample, in match programs the time that an order arrived is typicallyignored. As another example, the first look methodology, describedbelow, does not follow strict time priority.

System 5 is connected to external users 70 and 72, shown as order rooms70 and 72, and external exchanges 80, 82 and 83 through appropriatecommunication channels, such as dedicated or dial-up lines, or via theInternet. A user may be represented via one or more order ELFs (oEs)and/or provide information via one or more data ELFs (dEs). In FIG. 1,user 70 is coupled to oE programs 10 and 11, while user 72 is coupled tooE program 12 and dE program 20. It will be understood that system 5actually supports many oEs and dEs. A user or customer of an oE is abroker, institutional investor or other appropriate trading party. Auser of a dE is a broker-dealer providing price quotes, a quote or tradefeed from a provider, or other suitable source of data.

System 5 is depicted with order umpire (oU) programs 30, 31, 32, 33 andevaluation umpire (eU) program 40. It will be understood that system 5actually supports many oUs and eUs and has administrative functions (notshown).

External site 80, also referred to as external exchange 80, is coupledto system 5 through mirror ELF 50 which ensures that two files orappropriately designated subsets thereof remain synchronized, one filebeing at external site 80 and the other being at system 5. In FIG. 1,exchange 80 is shown as including mirror link adapter program 85, whichserves to translate between formats and protocols used at exchange 80and in mirror ELF 50. As discussed below, only a limited set of messagesare used to communicate with exchange 80, and mirror link adapterprogram 85 need only translate the limited set of messages to theinternal protocol of exchange 80. It is assumed that all relevant ordersarriving at external 80 are passed through mirror link adapter 85 sothat these orders can also be represented in system 5. Order umpireprogram 30 is coupled to exchange 80 through mirror ELF program 50 thatserves to pass messages between exchange 80 and umpire 30. Order umpireprogram 30 is also connected to external point 90, for reporting tradesas appropriate, to an external point not coupled via a mirror ELF,through dE 55.

oU 33 is coupled to mEs 52 and 53, which are respectively coupled toexternal markets 82 and 83. A practical use for this configuration is asfollows. Assume that markets 82 and 83 trade different symbols. Via mEs52 and 53 and oU 33, markets 82 and 83 can send orders for the othermarket's symbol. Here, oU 33 mainly serves as a router.

One of the platform services 60 is market status board process 65, whichmaintains, for access by ELFs, a combined copy of all books of all orderumpires as market status board data structure 75. ELFs can access marketstatus board 75, but are limited to those portions of the combined bookthat were posted by umpires at which they are registered and for whichportions they are authorized. Additionally, access may be furtherrestricted for specific ELFs by the umpires at which those ELFsregistered. For example, an umpire may limit a particular ELF's accessto a certain depth of book, such as best market.

FIG. 1 shows mirror ELF 50 as being coupled to external system 80 andalso shows oUs 31 and 32, both on the platform of system 5, beingcoupled via mE 51.

System 5 is described in the context of trading equity securities.However, system 5 can also be used for trading other financial andnon-financial instruments such as futures, derivatives, options, bonds,currencies, power, barges, chemicals, and so on. System 5 can also beused to trade other items such as tangible items or intangible itemsthat are represented by an ownership document, such as royalty rights orsettlement amounts for a dispute. Accordingly, the terms “buying,”“selling,” “bidding” and “offering” should be understood from context.

System 5 facilitates competition among trading methodologies, ratherthan enforcing any particular methodology. Accordingly, the overhead ofsetting up a separate trading system each time a new item is to betraded can be avoided, so trading innovations are promoted.

Overview: Order ELF and Order Types

Typically, order ELF (oE) programs are agents representing orders fromcustomers. An ELF program interacts with umpire programs and platformservices 60; an ELF program does not directly communicate with any otherELF program. Each ELF program also communicates with its owner externalto system 5.

An oE may support various types of order handling features includinginquiries and cancellations of all or part of orders. A particularumpire may or may not support methodologies associated with the orderhandling features. Some orders utilize the full price discovery anddecision mechanisms described herein before being acted upon, whileother orders use market status board 75 for discovery, or are simplyacted upon without any price discovery and/or decision mechanisms. Insome cases, the order room overrides the ELF's processing logic andinteractively provides guidance to the ELF. When an order owner, such asorder room 70, sends an order to an order ELF, the order owner providesinformation in various fields in the order that permit the ELF's logicto make decisions about the routing and other processing of the order.

Examples of orders include:

-   -   Market order—A market order is of the form BUY 100 XYZ, meaning        buy 100 shares of XYZ security at the best price available        immediately; these orders may involve determining the best        market available from a variety of umpires, or may result in        routing the order to be filled at a single umpire.    -   Limit order—A limit order is of the form BUY 100 XYZ (@ 30),        meaning buy 100 shares of XYZ when the price is $30 or less per        share. An order book is a file of stored limit orders.    -   Stop request order—A stop request order, also referred to as a        stop order, is a short-term option to buy or sell at a        particular price. The duration of the stop may be determined by        an order umpire or be one of the parameters of the stop set by        the order ELF. In some cases, the order umpire specifies a time        range of stops it will grant, and the order ELF's requested stop        duration must be within this range. The order umpire may specify        a default duration for its stops. The order umpire may charge a        fee for any of its services, including each stop.    -   Stop exercise order—After a stop request order has been granted        by an order umpire, the stop is exercised by sending a “stop        exercise” order to the umpire that granted the stop request        order. The umpire then provides the price indicated in the stop        grant notice, for the amount in the stop exercise order, up to        the amount in the stop grant notice. A stop exercise order can        be sent by an order ELF to an order umpire. A stop exercise        order can be sent by platform services during guaranteed linked        order execution to an order umpire.    -   Linked order—A linked order is a set of orders executed as a        single order. The constituent orders are sometimes referred to        as “legs.” A linked order may have an objective function        associated therewith. An objective function is a parametric        expression, possibly involving one or more legs, that evaluates        to TRUE or FALSE. When the objective function is satisfied, that        is, evaluates to TRUE, then the linked order is executable. Two        variants of linked orders are described:    -   1. Guaranteed execution—the orders in a linked order are        executed only if all can be executed in accordance with their        conditions, if any. Guaranteed executions are implemented by        obtaining stops for all orders, then when all stops are        obtained, freezing the stops and executing the linked order. 2.        Best efforts execution—the orders in a linked order are executed        after it is determined that the criteria for the orders have        been met. In the time between determining that the criteria have        been met, and when the execution occurs, conditions may change        and logic (not shown) is provided to handle such situations.    -   Trial order—A trial order is a type of limit order submitted to        an umpire to be treated as an ordinary order with the exception        that the execution is for informational purposes, only. A trial        order provides information as to the price and depth of the        market, and its priority at a particular price. The execution of        a trial order can also be used to trigger some other action,        such as a linked order.

Each oE, such as oE 10, includes decision engine program 100 that isable to access data structures including decision table 110, order table115, price-response table 120, order control table 130, umpires table140, ELF data structure 145 and symbol table 150. These elements arediscussed in detail below.

FIG. 2 is an overall flowchart of operation of an oE, such as oE 10.Set-up for oE 10 is discussed below. Generally, oE 10 processes ordersin three phases: price discovery, decision as to what to do, then takingaction; for orders for which discovery is not needed, oE 10 simply takesaction.

At step 160, oE 10 determines the required level of discovery. If theorder requires no discovery or if prices available at market statusboard 75 provide sufficient discovery for this order, processingcontinues at step 165. If full discovery is required, at step 161, adiscover list is generated either by analysis of the order, or byconsultation with the order room. A discover list is a list of umpiresthat oE 10 should get a price from during oE 10's discovery phase. Adiscover list may include discovery parameters. At step 162, oE 10either obtains at least one price from market status board 75, orobtains a price from at least one of the oUs in its discover list andmay obtain information from at least one of the eUs with which it isregistered.

At step 165, oE 10 executes its decision logic for how to respond to thejust-discovered prices. The decision logic may specify consulting withorder room 70 or invoking additional decision logic at oE 10. At theconclusion of step 165, oE 10 has generated an action list. At step 170,oE 10 takes the actions specified in the just-generated action list. Asexplained below, oE 10 can act in any of the following ways depending onits own logic and the procedures of the oU it is interacting with, suchas:

-   -   Accept the price for all or part of its order;    -   Counter-offer by proposing a different price;    -   Request that the oU conduct an auction for its order;    -   Request a stop;    -   Choose to join the crowd for the oU;    -   Take shares up to x1, price not worse than x2, not less than x3        shares;    -   Route a market order to the oU; or    -   Post its order or a portion thereof with the oU.        While in the crowd for an oU, the oE is eligible for some or all        of the following:    -   Participating in the price improvement mechanism, if any, for        the oU; and    -   Receiving private trade opportunities from another oE (see        discussion of order umpire setup).        oE 10 may execute some of its order in one way, and the rest of        its order in other ways. oE 10 repeats its cycle of price        discovery, decision and action until it has paired its order or        has returned the order to the order room for other action.

After an action has been taken, at step 175, oE 10 tests whether theentire order has been paired. If so, oE 10 reports the results to orderroom 70 and processing is complete. If the order has not been completelyfilled and there are actions remaining on the action list, oE 10proceeds to step 167 and determines whether sufficient time has elapsedsince the action list has been generated that the remaining actions mayno longer be valid. If the action list is still valid, oE 10 continuesat step 170 with the next action on the action list. If the action listis stale, for example, older than a predetermined time limit or marketconditions have changed, which may be determined by the decision table,oE 10 proceeds to step 162 for fresh discovery.

Brokers presently compete by persuading customers that they can obtainbetter prices. In the environment of system 5, the ability for eachbroker to program its own ELF enables the broker to implement thefeatures of its strategy, and continue to obtain better prices for theircustomers and provide personalized service to each order.

In some embodiments, the owners of the ELFs are limited to tailoringtheir ELFs by changing parametric settings and providing decision tablelogic. Custom programming is prohibited for the protection of otherplatform users.

Overview: Data ELF

Data ELF (dE) programs provide information to various umpires, such asmarket information, general business data and so on, from sourcesincluding individual market participants such as broker-dealers.

FIG. 3 is a flowchart for operation of dE 20. At step 180, dE 20receives data from user 72. At step 185, dE 20 may or may not store thereceived data. At step 190, dE 20 looks up the recipients for the newlystored data. Recipients get created and updated using, for example, arecipient-initiated subscription process for specified types ofinformation to which the recipient has access authority. At step 195, dE20 sends the newly stored data to the indicated recipients. While thedescription of the data ELF, above, refers to transmission of data fromoff the platform to umpires on the platform, it may be used in the otherdirection. For example, dE 55 transmits pairings to external facility 90for execution.

Overview: Mirror ELF

Mirror ELF (mE) programs couple an order umpire with an external point,such as external site 80, or with another order umpire on system 5. A mEis also referred to as a representation process. In a generallysymmetric manner, when an order is represented at oU 30 and at exchange80, before acting upon the order, oU 30 first checks with exchange 80,and after exchange 80 confirms, oU 30 takes its action. As explained indetail below, oU 30 must ensure that exchange 80 will not act upon theorder while oU 30 does so; accordingly, a mirror ELF is a conduit forcancel and post actions, but not execution actions. The mirror ELF alsotransmits commands between oU 30 and external 80 with respect toentering fast symbol mode (defined below), re-synchronizing the bookswhen fast symbol mode is finished, and ending fast symbol mode. Asymmetrical situation exists with respect to exchange 80 acting upon theorder, and entering and leaving fast symbol mode.

Fast symbol mode is sometimes referred to herein as fast mode. Fastsymbol mode is entered when a market such as oU 30 or external 80 willno longer support a two-phase commit process prior to pairing of ordersand will assume all posted orders are available for immediate execution.The only actions supported in fast symbol mode are post, cancel, andexecute. If external 80, for example, entered fast symbol mode, oU 30acts as an input station, forwarding any order it receives from any ELFdirectly to the mirror ELF for transmission to external 80. For anysymbol, at most one of the markets coupled to mE 50 can be in fastsymbol mode. During fast symbol mode, an umpire may provide reduceddiscovery or no discovery.

FIG. 4 is a flowchart for operation of mE 50. At step 3605, mE 50receives an action from an order umpire, such as oU 30, or an externalpoint, such as external 80, referred to as an “originator” for purposesof FIG. 5. The action may be one of post, execute, cancel, enter fastmode, end fast mode, sync books, update book, request affirmation,provide affirmation and so on. “Sync books” is used when the originatoris about to exit fast symbol mode and indicates that the originator willsend the entire book for that symbol. “Update book” is used immediatelyafter “sync books” to send updates received while the entire book wasbeing sent pursuant to the sync books message.

At step 3610, mE 50 checks whether the action is an “execute” and if so,converts the action to a “cancel for execution.” That is, there are twotypes of cancels, a “regular cancel” and a “cancel for execution,” bothgenerally referred to as “cancels.” This procedure is used because anoriginator cannot locally execute until it has eliminated the chance ofan execution in another market, that is, has cancelled from the othermarket.

At step 3615, mE 50 transmits the action, as converted, to the other ofthe order umpire or external point (which may be a local order umpire),referred to as a “receiver” for purposes of FIG. 5. At step 3620, mE 50sets a timer to a value indicating by when a response is expected fromthe receiver. At step 3625, mE 50 checks whether a timeout has occurred,that is, the timer value and the system actual time are the same. Ifnot, then at step 3640, mE 50 checks whether a response has beenreceived from the receiver. If not, processing returns to step 3625.

If at step 3625, it is determined that a timeout has occurred, then atstep 3630, mE 50 sends a zero action response to the originator. At step3635, mE 50 configures itself to send a negative acknowledgement (NAK),indicating that the response was too late, after a response is receivedfrom the receiver. Processing is now complete.

If at step 3640, it is determined that a response has been received fromthe receiver, then processing proceeds to step 3645, where mE 50transmits the response from the receiver to the originator. At step3650, mE 50 sends an acknowledgement (ACK) to the receiver. Processingis now complete. Generally, the response indicates a number of sharesthat was acted upon. In some cases, such as a cancel, the response mayalso include a number of shares in-process. In one embodiment, when theoriginator sends a request for affirmation as the action, and thereceiver is an existing trading system or exchange that does not doaffirmations, then mE 50 generates an affirmation on behalf of thereceiver.

Overview: Order Umpire and Pricing

An order umpire (oU) program serves as a facility that implements therules of engagement between two or more ELFs for exchanging informationor merchandise. Any user of system 5 can create an oU that acts as ameeting place for oEs that choose to follow the rules thereof. A user ofsystem 5 sets predetermined parameters to define an oU; the parametersfor each oU can be set independently of the parameters for all otheroUs. Accordingly, oUs may follow the same market methodology, similarmarket methodologies, or entirely different market methodologies.

As explained, by registering with an umpire, the ELF agrees to the rulesof that umpire. An umpire program provides services to ELF programs andmay represent orders sent to it by ELF programs. An umpire programinteracts with ELF programs and platform services 60; the umpire programdoes not directly communicate with any other umpire program. Umpireprograms do not communicate directly with users external to system 5.

FIG. 5 is an overall flowchart of an oU, such as oU 30, showing that theoU has functions that are executed at various times: receiving orders,responding to action/discover requests, pairing, generating pricing andpairing data streams, and receiving data. As discussed below, there is aset-up period during which logic and parameters for the oU are defined,including price discovery parameters, and during which the oU grantsaccess to one or more oEs.

At step 210, oU 30 receives orders and stores them in an order book.

At step 220, oU 30 responds to certain of actions and requests, such asregistering and deregistering from its crowd. Another type of requestthat oU 30 responds to is discovery, by performing a pricing function,including the following:

-   -   Collecting prices from various sources including its own order        book and dEs, and oEs registered in its crowd during a price        improvement procedure;    -   Computing a current price; and    -   Responding to requests by providing its current prices.

Parameters relevant to discovery include the following characteristics,specified on an umpire-by-umpire basis:

T1 Maximum time an umpire takes to return a price METHOD Pricingmethodology (to determine price) L In-process timer defining the maximuminterval that a periodic umpire will be in-process DP Depth of pricesreturned (amount of price data) T2 Amount of time for which the returnedprice is good (executable), that is, the returned price can be soft orinstant or held for some period FS This field may contain one of severalvalues to represent, for example: that this umpire is always in fastsymbol mode; or that this umpire may go into fast symbol mode from timeto time. MM Method modifier

The parameter T1, when set appropriately, provides time for an umpire tosolicit price improvement from its crowd or otherwise obtain data inresponding to a discover request.

The parameter METHOD identifies how the umpire will provide prices.Pricing methodologies may be characterized as “on demand,” “periodic” or“continuous” and include:

-   -   “Stored” (book), meaning that the price is determined based on        an order book,    -   “Superbook” meaning that the price is determined based on an        order book and with a price improvement mechanism: an auction        for the crowd of oEs registered with the umpire. The price        improvement mechanism is operative during discovery and during        execution. During discovery, an inquiring order ELF can indicate        that it “accepts auction mode” meaning that if an order ELF in        the crowd provides a better price than the superbook umpire's        book, then the inquiring order ELF will accept the crowd ELF's        price. During execution, just before a superbook umpire moves to        booked orders at a new (worse) price to fill an active contra        side order, the superbook umpire notifies order ELFs in its        crowd of the opportunity to improve the price.    -   “Auction” meaning that the price is determined by an auction        according to predetermined auction rules,    -   “Match” meaning a process with three aspects: 1) pairing, 2)        price assignment, and 3) reporting to participants and possibly        other places such as an exchange. A match methodology may only        do aspect 1, or aspects 1 and 2, or aspects 1, 2, and 3. Pairing        is determined by selecting orders according to a predetermined        procedure. Price assignment is made according to established        rules such as a Market Mid-Spread Match that obtains the spread        for the market from an external source and uses the midpoint of        the spread to set the match price of orders. Reporting of        pairings is done depending on a parameter of the umpire.    -   “Negotiation” meaning that the parties negotiate to arrive at a        mutually agreeable price. System 5 supports three forms of        negotiation:        -   1. Inquiry—market information is provided to a filtered set            of users on a discretionary basis. For example, the umpire            sends a “negotiation possibility” notice to each party,            including information such as the telephone number of the            other party so that the parties can negotiate outside system            5;        -   2. Third party—the umpire, at the time it is created, names            a third party to conduct the negotiation or defines a method            such as BidPlus, discussed below, to conduct the            negotiation. At the time of the negotiation, the third party            negotiation umpire provides both orders to the third party.            According to the well-known procedure of the third party, it            may simply provide a price to both parties, or it may            contact each party to mediate the negotiation. It will be            appreciated that the third party may be a human or a            computer process, such as another umpire; and        -   3. Direct—the umpire acts as an automated broker and/or            message switch.    -   “BidPlus” referring to a periodic matching method that allows        users to select a liquidity curve specifying price        aggressiveness per quantity traded. For instance a curve might        indicate a trader would want the market price if selling 10,000        shares but would drop 10 cents a share to sell 20,000 shares,        and 30 cents a share to sell 40,000 shares. The 10 cents and 30        cents are the premiums at the different share amounts. BidPlus        has a simple specification (one parameter), and a fair method.        This method asserts to the user, “anyone less aggressive will        trade at a price no better than yours.” Thus, if a user        indicates a willingness to Buy at 80, the user will Buy for at        best no more and perhaps less than anyone indicating a lower        maximum price.

The owner of an order may specify the negotiation form, therebyselecting appropriate order umpires. In some cases, an order umpiresupports multiple forms of negotiation, with certain forms ofnegotiation possibly being available only to certain order ELFs.

The parameter L defines the behavior of an umpire regarding anin-process interval, that is, the maximum time that a periodic umpirewill remain in-process. An example is how long it takes to run a match.During the time when the umpire is in-process, the order cannot becancelled. The in-process Umpire may execute all or part of the quantityof the order. If it is executed, the ELF will not be given a chance toconfirm if the quantity of the order is still available.

The parameter DP indicates how much pricing information will beprovided. A depth equal to zero means no prices are returned, alsoreferred to as a “blind book.” A depth of one means the best price isreturned. A depth equal to “best plus max” means the best price plussufficient depth to fill the order up to a maximum depth is returned. Adepth equal to “all” or “infinite” means the entire book is returned, orchanges to the book since the last time a price was requested.

The parameter T2, sometimes referred to as the price characteristic,indicates how long the price can be relied upon for an execution. Forexample, T2 may be set to one of the following:

-   -   s The price is a soft price, that is, an indication, that cannot        be used for an execution, and may change at any time    -   n A positive integer signifying the number of time units that        the price is good for. A value of zero indicates the price is        only good immediately. Time units are measured in “Processing        Time Units,” an abstraction that can expand or shrink with        respect to clock-time to take into account heavy versus light        processing loads. The purpose of using processing time units is        to prevent fluctuations in processing loads from significantly        changing the way umpires process orders.

The parameter FS—fast symbol mode—contains one of several values torepresent, for example: that this umpire is always is in fast symbolmode; or that this umpire may go into fast symbol mode from time totime. When an umpire is in fast symbol mode, the umpire may alter theamount of discovery available to an ELF, and may assume posted ordersare available for execution without affirmation. For example, when anumpire's internal queue length of waiting orders exceeds a predeterminedamount, or some other measure is exceeded, the umpire may go into fastsymbol mode. Fast symbol mode is of indeterminate length, and terminatesonly when the umpire explicitly decides to terminate it. When an umpireenters or leaves fast symbol mode, it advertises that fact bybroadcasting it and by updating system status board 74. Before an umpiregoes into fast symbol mode, it waits for acknowledgement of fast symbolmode from each ELF having one or more orders in its book. An ELF maycancel all or part of its orders from the umpire at this time. If theumpire does not receive an acknowledgement for an order in its bookafter a timeout period, the umpire treats the lack of acknowledgement asa cancel from the owning ELF and cancels the order. When an order ELFreceives notification that the umpire will go into fast symbol mode, theof decides whether to leave its order in the umpire's market based on anumber of factors, including the oE's parametric settings.

The parameter MM means different things depending on the METHODparameter. For some methods, MM is unspecified. For example, when theMETHOD is set to “market best” then MM is the amount per share that theumpire will pay. As another example, when the METHOD is set to “priceimprovement” then MM specifies the percentage amount of priceimprovement.

The price discovery parameters can be varied in numerous ways. Table 1indicates settings that yield conventional pricing methods. Othersettings may enable new pricing methods.

TABLE 1 T1 Method T2 Methodology 0 book 0 standard book Infinity book 0blind book value auction Not applicable Dutch auction value externalvalue Not applicable match value negotiation (inquiry type) 0 inquiryvalue superbook 1 representation

The methods in which T2 is not applicable are “periodic” methods in thatonce the process begins on the affirmed orders, the prices are returnedwithout further interaction of any kind by the controlling ELFs. Atother times, orders may be booked or canceled at will.

In addition to the parameters above, an umpire may enforce the privacypolicy of its ELFs by guaranteeing that only the information specifiedin the ELF's “disclosure signature” will be given to any other ELF. Thedisclosure signature is selected from one of seven levels 0-6 shown inTable 2.

TABLE 2 Fields disclosed if Fields disclosed if Level potential matchinquiry, no match 0 no none 1 ID none 2 ID, topic none 3 ID, topic, sidenone 4 ID, topic, side, approx ID, topic, side, approx min lot size minlot size 5 ID, topic, side, min lot ID, topic, side, min lot size, softprice size, soft price 6 ID, topic, side, min lot ID, topic, side, minlot size, hard price size, hard price

The term ID means the ID of the owner of the ELF, that is, the trader ordesignated broker if there is one. The term “topic” indicates a symbol.The term “side” indicates whether this is a buy or a sell. The term “minlot size” indicates the minimum number of units that will be considered.The term “approx min lot size” indicates that the min lot size will becharacterized as either a large or small order. The term “soft price”means that the price is an indication and the term “hard price” meansthat the price is firm.

A call list associated with an order is a list of contra-parties to whomthe order may, or may not, be shown and what the disclosure signaturewill be for each listed party. Each party in the call list may beidentified by name or by characteristics, and wild card characters maybe used if a party's name is not fully known. Assuming an affirmativecall list, ELF-1 must match an entry in ELF-2's call list to be eligibleto interact with ELF-2. Assuming a negative call list, if ELF-1 is onELF-2's call list, then ELF-2 will not interact with ELF-1. Each ELF canhave an affirmative call list and a negative call list. An interactionmust be permitted by both parties in order to occur.

At step 225, oU 30 interacts with oEs by performing various functionsthat may include:

-   -   Reporting order pairings;    -   Maintaining an order book for orders entrusted by an oE;    -   Providing execution to an oE;    -   Responding to a request for a stop from an oE;    -   Responding to a counter-offer from an oE; and    -   Conducting an on-demand auction to promote pairings between        orders in the ELF crowd and booked orders.

To illustrate the terms “take,” “pair,” “report” and “execution,” let itbe assumed that oE 10 posts an order with oU 30. oE 12 now might come tooU 30 for discovery for its order. Following discovery, oE 12 may decidenot to “take” any of the discovered orders, or it may attempt to “take”one or more of the discovered orders, including the order posted by oE10. If oE 12 decides to take oE 10's posted order, oU 30 will ask oE 10to affirm how much, if any, of the posted order remains. Let a specificquantity of shares of the order from oE 10 be affirmed. oU 30 “pairs”the shares from oE 10 and oE 12 to create a “pairing.” If, for example,it is necessary for this umpire to report pairings to an externalexchange and the pairing is successfully reported, then an “execution”has occurred. Reporting to an Exchange is an example of a pairing turnedinto an execution but not the only one. As another example, if theumpire has been set up on the basis that a “pairing” is a contract, thena pairing is an execution. That is, when an umpire does not have toreport pairings to an external exchange, a pairing is an execution ifthe umpire's rules so specify. Alternatively, a pairing can be reportedto the order ELFs and at least one of the order ELFs is responsible fordoing what is necessary to convert the pairing into an execution, suchas reporting to an exchange, sending an invoice to a contra-party, andso on.

Parameters relevant to ELF-umpire interaction include:

DT decision table PRICE umpire supports posting and counter-offersPROCMOD process modifier DISCLOSURE representation disclosure for oEsregistered in crowd

The parameter DT is set to one of a set of values:

DT = NONE umpire parameters are presented to an oE as indicated in theremainder of the umpire parameters DT = STANDARD use predefined table,includes which oEs are eligible for parameters of the table DT = SPECIALenables creator of umpire to specify, by individual oE or a set of oEs,the special behavior of that umpire for those oEs

The parameters PRICE, PROCMOD and DISCLOSURE may be enabled or disabledfor any particular umpire. When they are enabled, an oE may use them.When they are disabled, they are unavailable.

The parameter PRICE indicates to an oE that this umpire supports postingand counter-offers.

The parameter PROCMOD, process modifier, specifies which of a set ofadditional capabilities this umpire provides, for example, enablingposting an order resulting in a crossed market.

The parameter DISCLOSURE indicates to what extent an oE is visible toothers, and has one of the following three values: anonymous, ordinaryor “serious,” when an umpire permits representation and an oE registersin the crowd. The “serious” value is used by an oE to indicate tocontra-oEs that the oE has a large block to trade.

At step 230, oU 30 generates data streams containing pricing and pairinginformation. For example, oU 30 can put the following into the datastream, among others: the price whenever a price changes or is about tochange, or the price whenever a pairing occurs. The data stream may bebroadcast via the broadcast services 65.

At step 240, oU 30 receives data, such as a price or business-relateddata from a data ELF, and stores the received data.

Overview: Evaluation Umpire

Evaluation umpire (eU) programs provide information or services inresponse to requests from order ELF programs; an eU provides an analysisservice to oEs. For example, an eU may calculate a “theoretical price”for a particular instrument, the price being used by the oE in itsdecision logic.

FIG. 6 is a flowchart for operation of eU 40. As shown, eU 40 performstwo functions: receiving data from at least one dE (steps 260-264) andresponding to inquiries from oEs (steps 266-280). At step 260, eU 40receives data from a dE, such as dE 20. At step 262, eU 40 stores thereceived data. In the course of receiving data in step 260, at step 264,a trigger event may be detected. If a trigger event is detected, eU 40proceeds to step 275 to execute eU 40's analysis function. Followingexecution of its analysis function, at step 278, eU 40 stores the resultfor later use. At step 266, eU 40 receives an inquiry from an oE, suchas oE 11. At step 264C, eU 40 determines whether the inquiry or somedata pattern causes a trigger. If a trigger is detected, then at step275, eU 40 executes its analysis function, and at step 278 stores theresult. If a trigger is not detected, then at step 270, eU 40 preparesan answer to the inquiry. At step 280, eU 40 responds to the inquiry.

Examples of evaluation umpires include:

-   -   Umpires that aggregate and analyze data from a variety of        sources and continuously produce the results of that analysis.        These results may be obtained by the oEs connected to the        umpire. Results may include market indices and averages; and    -   Umpires that execute a proprietary analytical model for a fee to        provide results to an inquiring oE.

An evaluation umpire is one instance of a broader category of umpirescalled service umpires. Service umpires are of two categories: umpiresthat make evaluations and umpires that perform an action. Evaluations donot change files. Services such as credit, allocation, and soft dollartracking do change files. Service umpires may perform credit checking,certification and/or clearing.

Examples of Services Provided Using the Trading System

Using the platform of system 5, with order umpires representing marketshaving respectively different trading methodologies and order ELFsrepresenting different traders, a wide variety of services are readilyprovided. Several such services are discussed below to illustrate theflexibility of system 5.

System 5 enables humans to trade via order ELFs in a manner whichpreserves the relationship nature of trading. In contrast, conventionaltrading systems typically assume traders are willing to interact with anelectronic database in a uniform way no matter who is on the contraside, and so, even after years of electronic trading systemavailability, traders eschew conventional electronic trading system forlarge block trading.

System 5 provides an environment that facilitates rapid launching andcost-effective operation of new trading methodologies. In contrast,conventional trading systems are based on a single trading methodology,and are very expensive and time-consuming to change.

System 5 provides an environment in which the increasing fragmentationof markets can be readily implemented, while providing the ability tofind a best market according to respective criteria for a best marketsupplied by each user.

Advantages of system 5 include improved market information, flexibleorder routing, representation of an order in multiple markets, abilityto find size liquidity, reducing market and disclosure risk, ability tosimultaneously execute a linked order with multiple legs, improved ordermanagement, improved market service versatility due to a range oftrading, informational and advisory services, improved marketconnectivity with immediate connections once on the platform of system5, empowering users to define their own ELFs and umpires, facilitatinginnovation as a custom umpire can be provided inexpensively and quickly,facilitating a common liquidity pool for exchanges while maintainingindependent systems, and providing a platform that facilitatescompetition between methodologies as opposed to promoting one or morespecific methodologies.

Service: Representation of Order in Multiple Markets

An order can be represented in multiple markets without risk of multipleexecutions. Multiple executions are prevented via several mechanisms.

In one mechanism, control over an order is associated with a particularprocess, usually an order ELF but sometimes an order umpire in fastsymbol mode, and another process trying to execute the order must firstobtain permission from the controlling process before actuallyexecuting; this mechanism is referred to as a two-phase commit.

When an umpire declares itself to be in fast symbol mode, another umpireprocess can execute an order represented at the fast symbol umpire, onlyafter the order is first cancelled from the fast symbol umpire.

In another mechanism, an order umpire can declare itself to bein-process, and then another order umpire that subsequently becomesin-process skips its own orders that it finds, via the respective ordertails of the orders, to be in-process at umpires having an in-processstart time preceding the in-process start time of the instant orderumpire.

It is also possible for an individual order to be in-process at anumpire, although the umpire itself is not in-process.

When an umpire is in-process, an order represented at the in-processumpire cannot be cancelled.

When an order is in-process at an umpire, the in-process order cannot becancelled.

Accordingly, an order ELF must manage its order so that the order isin-process at no more than one umpire.

The two-phase commit and in-process mechanisms are integrated in system5.

FIGS. 93A-93C show an example of representing an order in multiplemarkets, specifically, an umpire asking an order ELF for affirmationbefore pairing the ELF's order with a contra-side order, and an orderELF canceling its order from a second market after the order is pairedin a first market. See also Tables 14-16.

Conventional trading systems assume that an order represented in theirmarketplace is immediately available for execution, that is,conventional trading systems permanently operate in fast symbol mode.Accordingly, with conventional systems, when a trader wishes torepresent an order in multiple markets, the trader runs the risk ofmultiple executions. Some trading systems are aware of other markets andwill route orders in their market to another market when the price isbetter; however, conventional markets adhere to the concept of controlover the order being embedded in the order. In contrast, system 5separates control over the order from where the order is represented.

Service: Routing control for orders

System 5 enables sophisticated and flexible management of order flow byproviding various features that a trader uses as desired.

When an order room sends an order to system 5, the order room can choosefrom among multiple order ELFs. Each order ELF implements a desiredorder processing strategy, ranging from a very simple strategy such as,“no discovery just forward to market with best price,” to a complicatedstrategy such as, “check market conditions, get analysis from serviceumpire, ask order room for decision if (condition set 436) is true, takequantity if (condition set 221) is true else join crowd for umpiresmeeting (condition set 57) until (condition set 10) is true then execute(action 43).” Accordingly, orders with a simple handling strategy neednot be delayed while processing orders with a more complicated handlingstrategy. Since an order room can instantiate as many order ELFs asdesired, system 5 is readily scalable.

Because each order ELF can implement a different strategy, traders canprovide as much personalization as desired to each type of order, basedon the characteristics of the order as well as market characteristics.

The amount and type of discovery performed for each order can alsodiffer depending on the characteristics of the order and marketcharacteristics. Thus, routing can be based on an internal decisionprocess alone, sometimes with previously obtained data and/or advice, orcan be based on external data and/or advice obtained especially to makea routing decision.

An umpire responds to a discovery request from an ELF by providing atleast one of a price, a symbolic code, and an alphanumeric message. Aprice is a currency number. A symbolic code has a meaning understood bya particular umpire-ELF pair; depending on the umpire's rules, the samesymbolic code may be used for all ELFs, or each ELF can have its ownspecial symbolic codes at the umpire. An example of a symbolic code is“U332” which may mean, “umpire will improve best published price fromany other umpire by 0.02 per share.” An alphanumeric message is to bedisplayed to a trader. An example of an alphanumeric message is, “callBeth at (123) 456-7890 mentioning Jones order.”

An order umpire routes when it applies discretion rules to the orders inits stored order file, also referred to as its book, resulting in bookedorders being shown to an active oE or matched with an order from anactive oE.

Since umpires can also implement different strategies, and special codescan be defined for a particular pair of umpire and ELF, the discoveryresponses provided to an ELF can be very personalized, reflecting therelationships between the umpire and ELF as well as other ELFs.

System 5 enables an order to obtain discovery from as many formal andinformal markets as desired. A formal market is an organized tradingmarket complying with SEC rules. An informal market is any liquidityprovider other than a formal market, such as an individual willing toprovide liquidity, possibly only to selected parties.

In system 5, after an order ELF obtains discovery, the order ELF uses aprivate decision table to build an action list of actions to take for anorder. The “build action list” procedure enables an order ELF to makesophisticated decisions based on characteristics of the order, marketcharacteristics and the discovery responses. Orders are routed inaccordance with the action list built via this highly flexible decisionprocedure.

Conventional trading systems lack the panoply of features available insystem 5, and fail to provide some of the routing features available insystem 5. In conventional systems, orders are all processed withgenerally the same methodology, even orders with few or no parametersrequiring specialized handling; accordingly, simple orders are held upby complex orders and suffer processing delay due to the complexityneeded to handle other order types. Conventional systems often havebottlenecks that inhibit their scalability. Conventional trading systemsdo not provide for personalized, relationship-dependent order handlingby market. Conventional trading systems support only formal markets.Informal markets are not facilitated or supported in conventionaltrading systems. Accordingly, the order routing ability of conventionaltrading systems is primitive.

Service: Synchronization of Orders in Multiple Markets

Orders can be represented in multiple markets in a synchronized manner.Let it be assumed that one market is an order umpire on the platform ofsystem 5, and another market is an external exchange, that the orderumpire and the external exchange have respective order books, and thatthe order umpire and external exchange transmit messages to each othervia a mirror ELF. The mirror ELF enables the order umpire and theexchange to maintain synchronization over a variety of operations, suchas cancel, post, affirm and execute, via a protocol wherein theoperation is conditionally performed at one market and the operation iscommitted after being reflected at the other market. The reflection mayinclude canceling to allow one market to be in sole control of the orderand therefore able to safely execute without chance of a duplicateexecution.

Additionally, a mechanism is provide to hook and unhook, or link andunlink, two markets, namely fast symbol mode which effectively makes onemarket the active market and the other market be a passive or slavedtraffic router for the active market.

FIG. 94 provides an example of cancel order processing when a mirror ELFis involved.

Conventional systems sometimes have a hot standby, in which a physicallyseparate system shadows a primary system, and if the primary has aproblem, the standby immediately becomes the primary so that service isprovided without interruption. In such standby systems, there is a needto keep the order books synchronized, and a transaction is notconsidered complete until it is properly reflected in both the primaryand standby system. In contrast, system 5 ensures that a transaction iscancelled from one market before it can be executed in another mirrormarket; or, when one market is in fast symbol mode, the other marketdisengages. Additionally, when one market is in fast symbol mode, themarket at the other end of the mirror ELF does not necessarily maintaina synchronized order book; rather, when the first market ends fastsymbol mode, the first market transmits the order book to the othermarket to ensure that the order books are synchronized from that pointforward.

Service: Linked Order Processing

A list of orders can be linked together, with execution of the listperformed in a guaranteed mode or a best efforts mode. It will beappreciated that a linked order is akin to a synthetic security. In aguaranteed mode, each order is submitted to system 5 with a price, andeither all orders are executed at their respective prices, or none ofthe orders are executed. In one embodiment, guaranteed execution isprovided by obtaining stops for the contra-sides of each of the ordersin the list, and only executing the list when stops have been obtainedfor all orders. A useful platform service is the ability to freeze stopsin this situation, that is, ensure that they will not expire.

The market discovery protocol of system 5, when used with a linkedorder, enables a trader to readily “see” liquidity for the syntheticsecurity corresponding to the linked order.

Orders in a linked order can be trial orders. Accordingly, substantialdiscovery can be easily performed about market depth for syntheticsecurities.

FIG. 97 illustrates an example of linked order processing.

Conventional program trading refers to a trader designating a list ofsymbols and then submitting all symbols on the list for execution to theappropriate markets. When executions occur, they are each independent,and the trader must accumulate the results and group them together intothe program. Importantly, there is no way for the trader to assure allof the prices in a program trade before deciding to execute the program.In contrast, system 5 uses the affirmation mechanism to ensure that, ina guaranteed mode, prices for all legs of a linked order are assuredbefore the entire linked order is executed.

Service: Stop Order

Stops, short term option orders, can be provided as an optional featureof an order umpire. The expiration time of a stop may be controlledthrough platform services to ensure guaranteed execution for a linkedorder. The expiration time is typically sufficient for a process onsystem 5 to accomplish an operation on the platform, with presentcomputer processing technology, this time is several hundredmilliseconds or less.

FIG. 103 illustrates an example of stop order processing.

Conventional options expire at one of a set of predetermined times inthe future, rather than in a short time measured from when they aregranted. Recently, the International Securities Exchange has provided anautomated facility for trading these conventional options. So-called“forwards” enable a trader to negotiate the expiration time.

In conventional human-directed markets, a market maker will often granta short-term option to a trader, sometimes for a fee and sometimes as afavor. The market maker is exposing himself or herself to arbitrage bythe trader, so is reluctant to grant such stops for more than intervalsof time measured in tens of seconds. Due to human reaction times, a stopfor a duration of one second or less is useless, since a human cannotphysically take another trading action in such a short time.

In contrast, system 5 has many mechanisms to ensure appropriatemanagement of small intervals of time despite computer queues and thelike. System 5 is also concerned with allowing human behaviors to occurelectronically, rather than forcing all trades into the conventionalelectronic bulletin board paradigm. The fundamental nature of system 5makes a short-term stop meaningful, whereas in conventional systems itis useless.

Service: Trial order

Trial orders are provided for enhanced market discovery, enabling aparty to learn “shares ahead” at a market price. A trial order is storedby an order umpire in a similar manner as a regular order, but isignored for market inquiry purposes. When executed, a trial orderresults in an execution report for zero shares at a specified price tothe owner of the trial order, and is otherwise transparent to thepriority of the order(s) involved in a pairing.

Conventional market watch systems notify a trader when a price has beenhit. However, these conventional systems provide no clue as to marketdepth.

Conventional book trading systems do not support conditional orders,rather, they assume that each order is fully executable.

FIG. 98 provides an example of trial order processing. See also theexample of trial order processing during an execution attempt, presentedafter the discussion of FIG. 71.

Human market makers sometimes let a broker leave an order with them tobe executed at the discretion of the human market maker. These types oforders are referred to as “not held” orders and may violate the tradingrules of the marketplace. The purpose of these not held orders is to getan execution, not to ascertain market depth.

In contrast, system 5 has much more flexibility in managing eventsimultaneity than conventional systems, and provides the mechanismsneeded to implement a trial order, including the ability to ignore atrial order when responding to market inquiries, and to “execute” thetrial order without affecting the priority of other orders involved in apairing.

Service: Decision Table for Order Handling

Both order ELFs and order umpires support user-defined decision tablesfor controlling their behavior. A decision table provides a facility fordefining conditions that must occur before action is taken, and afacility for defining the actions to be taken and their sequence.Decision tables can have effect when an order is received, uponcompletion of price discovery for the order, on receipt of a contra-sidebid or offer for the order, and upon reporting execution of the order,including share allocation. Decision tables can include order-relatedevents and/or market-related events among their conditions. Decisiontables can include nested decision tables. Decision tables can haveassociated holding tanks, to store orders while waiting formarket-related events. Decision tables can specify that if a particularsituation occurs, the order room should be notified and/or will providea decision.

The decision tables of system 5 provide tremendous flexibility to routean order based on the order's parameters as well as market conditions.Accordingly, each order ELF can define what a “best market” means foreach order. Each umpire can tailor its service offerings on the basis ofthe identity of the order ELF it is serving.

Tables 5-7 provide examples of decision tables.

Conventional order routing systems may route to a best market, but theydo so based on a third party's definition of what is a best market. Incontrast, system 5 allows each trader in an order room to define bestmarket as they wish.

Conventional trading systems provide, at best, a few parameters thataffect how an order is executed, such as a limit price, a designation of“all or none” to prevent partial executions, and so on. In contrast, thedecision tables of system 5 can accommodate an enormous variety ofconditions combined with as little or as much complexity as desired.

Service: Negotiation protocols

An order umpire may employ a negotiation method for price discovery andis referred to as a negotiation umpire. “Negotiation,” as used herein,refers to the parties interacting to arrive at mutually agreeable terms,such as price and/or quantity.

A negotiation umpire has three important characteristics defined duringa setup period: (i) its behavior relating to discretion signaturematching, that is, how it decides to show information to oEs, (ii) itsbehavior relating to order matching, and (iii) its negotiation form.

System 5 supports three forms of negotiation:

-   -   Inquiry—market information is provided to a filtered set of        users on a discretionary basis. For example, the umpire sends a        “negotiation possibility” notice to each party, including        information such as the telephone number of the other party so        that the parties can negotiate outside system 5.    -   Third party—the umpire, at the time it is created, names a third        party to conduct the negotiation or defines a method such as        BidPlus, discussed below, to conduct the negotiation. At the        time of the negotiation, the third party negotiation umpire        provides both orders to the third party. According to the        well-known procedure of the third party, it may simply provide a        price to both parties, or it may contact each party to mediate        the negotiation. It will be appreciated that the third party may        be a human or a computer process, such as another umpire; and    -   Direct—the umpire acts as an automated broker and/or message        switch allowing parties to negotiate directly between        themselves.

FIG. 101 provides an example of an inquiry negotiation. FIG. 102provides an example of a direct negotiation.

Some conventional trading systems support the direct form of negotiationdescribed above. However, these system do not offer inquiry negotiation,direct negotiation, or a choice of negotiation methods as does system 5.

In the early-mid 1990's, the Chicago Match system provided a “nearmatch” feature in which a party submitted its order to the system bookand designated it would accept a near match. If a contra-side order hada price “near” a booked order that would accept a near match, the systemwould notify the owner of the booked order, and brokers would negotiatethe price. However, the Chicago Match system did not support the inquirynegotiation or direct negotiation described above, and did not offer achoice of negotiation methods as does system 5.

Service: Crowd Auction During Discovery

All umpires are assumed to have a book of orders. Any umpire that has acrowd may choose to support auction mode price discovery, either as adefault or by request from an ELF. It will be appreciated that someorder processing methods are suitable for auction price discovery, suchas book and superbook methods, while other order processing methods arenot suitable for auction price discovery, such as periodic matchmethods.

When an order umpire is providing discovery with auction mode, the orderumpire responds to price inquiries after an interval of up to apublished delay time. During this delay time, the order umpire givesorder ELFs registered in its crowd the opportunity to provide a betterprice than the book's price. If an order ELF in the crowd, referred toas a passive-side order ELF, provides a price better than the book'sprice, then the order ELF seeking discovery, referred to as anactive-side order ELF, is obliged to take the price and is immediatelypaired with the passive-side order. Effectively, the crowd response isan order that was provoked by the active-side order ELF's auction modediscovery request. The active-side order ELF is not obliged to take thebook's prices, unless the umpire has specified that if the umpireprovides a price, the ELF must take the price.

FIG. 99 provides an example of superbook processing during discovery.

Service: Crowd Auction During Execution

An umpire operating according to the superbook method will, when theorder umpire is about to change to orders in its book to a new (worse)price, automatically notify its crowd of order ELFs, and each order ELFthen decides whether it wants to provide a quantity of shares at animproved price for matching with the active contra side order. Thesuperbook method is actually a combination of a book trading method andan auction trading method, with crowd auctions occurring to improve theprice relative to the book's price. A superbook umpire may also supportauction mode price discovery.

FIG. 100 provides an example of superbook processing during execution.See also the example of superbook processing during attempt execution,presented after the discussion of FIG. 71.

Some conventional trading systems support a so-called reserve bookfeature. A trader submits an appropriately designated order, and only apredetermined amount of the order is revealed on the public book. Forexample, a reserve order for 10,000 shares with 1,000 shown would placean order for 9,000 shares on the reserve book, and an order for 1,000shares on the public book. After the 1,000 shares is executed, thereserve book would shift another 1,000 shares to the public book, and soon until the entire order was executed. These conventional systems usethe same methodology for executing all portions of the order. Incontrast, system 5 may execute portions of an active order in differentways: the first contra-side portions being obtained from the book andthe second contra-side portions being obtained through the auction formof crowd price improvement.

System 5 also provides much more sophisticated mechanisms for disclosingonly desired amounts of information about an order than the conventionalreserve book mechanism.

Service: Response Protocol for Price Inquiries

An order umpire may support disclosure levels from an order ELF. A firstorder ELF specifies a disclosure level for each entry in the call listassociated with an order it posts at an order umpire. Then, anotherorder ELF inquiring at the order umpire also provides its call listincluding a disclosure level for the first ELF. If the call listsintersect and the disclosure levels are compatible, the order umpirenotifies the parties of the other party's permitted disclosure. In oneembodiment, the discretion level is selected from (i) none, (ii) owner,(iii) owner and symbol, (iv) owner, symbol and side, (v) owner, symbol,side and approximate minimum lot size, (vi) owner, symbol, side, minimumlot size and soft price, and (vii) owner, symbol, side, minimum lot sizeand hard price. A soft price requires affirmation to execute. A hardprice is immediately executable.

Conventional order processing systems arose from an effort to reduceclerical effort and errors. In conventional systems, orders are exact,i.e., they do not contain any judgmental component and they arefungible, that is, an order for a certain number of shares means thesame thing independent of who sent it. System 5 can operate in thismode, but it can also operate in a mode in which the handling of anorder is based on a relationship between the parties. Also, system 5enables each order to be treated based on a relationship between tradingparties, that is, part of the nature of an order depends on who itbelongs to. Fundamentally, system 5 is reflecting the human dynamics oftrading and telephone calls, rather than acting as an anonymous bulletinboard as do conventional systems.

Service: Contra-Party Preference Updating

An order umpire may support contra-party preference information updatingand may track interaction between market participants and allow ordisallow interactions based on the contra-party preference information.Generally, a trader can designate a contra-party as “friendly” or“rogue,” and can designate itself as “anonymous.” An order umpire canreceive and assign evaluations of traders about contras even though thecontras are anonymous. Furthermore, contra-party preference updating 63can compare a trade made at a given time with a market price at someother past or future time, and compute a measure of merit for tradingwith the contra-party, even if the contra-party is anonymous.

System 5 provides a mechanism for negative selection. During a periodicmatch, it is often the case that there is an imbalance between buy andsell sides of the market. Frequently, the parties on the less popularside are there due to ignorance of the market, and would actually preferto be on the popular side of the market. The contra-party preferenceupdating mechanism can be used to ensure that a party will not getmatched against a contra-party who has demonstrated superior tradingability, often based on superior market knowledge, thus enablingnegative selection.

An example of contra-party preference updating is presented after thediscussion of FIG. 10.

Certain conventional trading systems enable designation of desired orundesired contra-parties, and then check the designations before pairingorders, but traders must manually update their lists of desired orundesired contras. In contrast, system 5 has a mechanism forautomatically updating a list of desired or undesired contras based ontheir trading performance, even if the contras are anonymous andtherefore could not be specified on a conventional manually updatedlist. Furthermore, system 5 enables combination of trader-suppliedratings with system statistical ratings in a single index.

Selected conventional trading systems enable parties on a desired orundesired list to be specified by their organizational affiliation, forexample, “I will not trade with any institutions, just with otherbrokers.” These lists must be manually updated. In contrast, system 5has a mechanism for automatically updating a list of desired orundesired contras based on their trading performance, even if allcharacteristics of the contras are anonymous and therefore could not bespecified on a conventional manually updated list.

Service: First Look at Market Improvement

An order umpire may support a first look feature, enabling the providerof the best market price to see a contra-side price improvement beforeall other participants in the market. The provider and/or otherparticipants may be order ELFs.

FIG. 76 depicts first look processing.

In the conventional human-directed OTC market, a market maker maymanually provide a first look to selected brokers, based on therelationship between the market maker and brokers. Conventional systemsare not configured to provide services based on the identity of theowners of orders, rather, conventional systems are directed to uniformtreatment of all interactions between participants, and would have to befundamentally revised to operate in this manner. In contrast, system 5is concerned with automating human practices rather than maximizing theefficiency of computer code, and enables customized or personalizedservice for orders depending on relationships between the marketprovider and the order owner or handler.

Service: Price Setting Mechanism

An order umpire may provide order executions according to a BidPlusmethod, using liquidity curves associated with orders to determinepremiums offered or demanded at a particular price, and then pairing theorders in accordance with their respective premiums and setting theprice for each pairing based upon the premiums of the orders in thepair.

Tables 13A-13G present an example of BidPlus processing.

The known Optimark system uses liquidity curves to match orders.Optimark is an implementation of a pattern match system, whereas BidPlusis more akin to a dutch auction in which prices come down as biddingcontinues.

Optimark is directed to matching as many orders as possible, whereasBidPlus is directed to rewarding a party taking the largest riskrelative to the market price by giving such party superior priority inpairing with the best contra side order. Fundamentally, the objective ofmatching as many orders as possible is inconsistent with rewarding thelargest risk takers. Stated otherwise, Optimark is concerned withmaximizing interchange of items, whereas BidPlus rewards traders whotake risks.

Optimark is fairly complex, and requires traders to indicate how happythey would be at various prices; BidPlus is much simpler, and requiresonly that traders select a suitable liquidity curve. An outside partymay provide a liquidity curve as a service.

Platform Services Platform Services: Stop Order Manager

An order ELF obtains a short-term option (stop) by requesting a stopfrom an umpire that provides stops. When an order umpire that supportsstops receives a stop request from an order ELF, the umpire checkswhether the requesting ELF is eligible for stops, and if so, grants thestop by (i) notifying the order ELF that the stop is granted, (ii)sequestering the number of shares in the stop request, so that theshares are available for the ELF; it will be understood that shares aresequestered when the ELF wishes to buy, whereas purchasing power issequestered when the ELF wishes to sell, and (iii) requesting thatplatform services create an instance of stop order manager 67 to measurethe duration of the stop.

The duration of a stop is determined either by the stop request from theorder ELF, or by the order umpire as an ELF-specific default value or auniversal default value. In some embodiments, order umpires measure theduration of stops on their own, and may or may not notify ELFs when thestop expires.

In other embodiments, platform services measures the duration of stopsand notifies the umpire and ELF when the stop expires. When an umpirerequests that a stop duration be measured, platform servicesinstantiates a stop order manager to measure the duration of the stop.This is a particularly advantageous procedure for linked orders, asplatform services may need to extend the duration of a stop to guaranteeprices for a linked order, and can readily extend the duration of thestop when its own stop order manager is responsible for declaring when astop expires. This procedure is also advantageous for preventing timingdisputes between ELFs and umpires.

FIG. 7 is a flowchart illustrating stop order manager 67. At step 3000,platform services 60 receives a request from an umpire to measure theduration of a stop and instantiates stop order manager 67. The stopmeasurement request includes information identifying (i) the umpirerequesting the measurement, (ii) the ELF that requested the stop, (iii)an identifying code, as an ELF may request multiple stops from anumpire, and (iv) the temporal duration of the stop.

At step 3002, stop order manager 67 sets a timer for the duration in themeasurement request. At step 3003, stop order manager is ready to acceptfreeze requests and cancellations of the freeze requests. As explainedbelow, a freeze request is generated by linked order execution manager61 during execution of a linked order and operates to extend theexpiration time of a stop for a predetermined amount, specified in thefreeze or according to a default value, such as 250 milleseconds.

At step 3004, stop order manager 67 checks whether the stop measurementtimer has expired, and if not, keeps checking whether the timer hasexpired. When the timer expires, at step 3006, stop order manager 67checks whether a timer freeze is active, specifically, whether any timerfreezes have been received, remain uncanceled, and extend the expirationtime. If so, stop order manager 67 resets the stop measurement timer andreturns to step 3004.

When the stop measurement timer has expired and there are no activefreezes, at step 3008, stop order manager 67 notifies the umpire thatthe stop expired, and at step 3010, notifies the ELF that the stopexpired. Then, this instance of stop order manager 67 is terminated.

If a freeze request is generated by linked order execution manager 61after a stop has expired, platform services 60 rejects the freezerequest on behalf of the terminated stop order manager 67.

Platform Services: Linked Order Execution Manager

To enable guaranteed execution of linked orders, platform services 60includes linked order execution manager 61, shown in FIG. 8. For aguaranteed linked order, after an order room determines that anobjective function has been satisfied for a linked order and stops havebeen obtained by the order room for each of the legs, the list of legsis sent to linked order execution manager 61 to cause all of the legs tobe executed. In short, linked order execution manager 61 is able toextend the duration of all stops for the legs, to ensure none of thestops expire before the other stops are acted upon, and then linkedorder execution manager 61 acts upon all of the stops on behalf of theELFs that requested the stops. Thus, a guaranteed linked order executionis obtained.

At step 3012, platform services 60 receives a request from an order roomto execute a linked order and instantiates linked order executionmanager (LOEM) 61. The linked order execution request includes a list ofthe stops obtained for each of the legs, which umpire granted the stop,which order ELF requested the stop, and the identifying code for thestop provided from the umpire to the ELF.

At step 3014, LOEM 61 confirms that the order room is the owner of eachof the order ELFs in the linked order execution request, sets a linkedorder control block for this order, and sets itself to the first leg ofthe order. At step 3016, for the current leg of the order, LOEM 61generates a freeze request for the associated stop, sends the freezerequest to the appropriate instance of stop order manager 67, and checkswhether the freeze request was accepted by the appropriate instance ofstop order manager 67. If so, then at step 3018, LOEM 61 checks whetherthere are more legs and if so, sets itself to the next leg of the orderand returns to step 3016. If a freeze is not accepted for any leg, thenat step 3023, LOEM 61 cancels all freezes for this linked order, and atstep 3025, reports to the order room that the linked order could not beexecuted.

When freezes have been accepted for all legs of the linked order, atstep 3020-3022, LOEM 61 confirms with each umpire that the sequesteredshares are still available. If any umpire fails to affirm availability,such as by being inoperative, then LOEM 61 proceeds to step 3023.

When all umpires have confirmed availability of the sequestered shares,at step 3024, LOEM 61 tells the umpire for each leg that a pairing hasoccurred. That is, LOEM 61 exercises the stop on behalf of the orderroom that owns the order ELF that requested the stop. At step 3026, LOEM61 reports to the order room that the linked order was executed.

Platform Services: Order Control and Platform Status Monitor

Ordinarily, an order ELF, such oE 10, is in control of what happens toits orders even when it has posted its orders to umpires, and expectsorder umpires to ask for affirmation that it is permissible to executethe orders. It will be recalled that an order ELF can post its order tomultiple umpires. Order ELFs and order umpires follow a two-phase commitprotocol: in phase one, the umpire asks for an affirmation, and in phasetwo, after the umpire has received an affirmation, the umpire pairs(executes) the order. This two-phase commit protocol is the regular modeof system 5.

Because orders can be in multiple places simultaneously, system 5 mustprovide an infrastructure for managing simultaneity to prevent duplicateunwanted executions. The infrastructure comprises the protocols andplatform services of system 5. Given this infrastructure, many newtrading methodologies may be rapidly and cost-effectively implemented.

When an order ELF agrees to let its order be in fast symbol mode at anumpire, the order ELF relinquishes most of its control over its order.When at order ELF agrees to let its order be in-process at an umpire,the order ELF relinquishes all of its control over its order.

Fast symbol mode will now be discussed.

There are times when umpires will not permit the two phase commitprocess for one or more securities. The usual reason for this is highactivity. When these circumstances occur, the umpire announces fastsymbol mode for the affected securities. When an umpire declares fastsymbol mode, it informs all order ELFs with orders in the affectedsymbol(s). Each order must be affirmed by its ELF within a specifiedtime period or will be canceled. Orders for a non-affirming order ELFare cancelled by an umpire when the umpire enters fast symbol mode.During fast symbol mode, oE 10 has sharply reduced its control over itsorders that are at any umpire in fast symbol mode. Specifically, oE 10can cancel all or part of its order, and otherwise the fast symbol modeumpire can execute the order at its discretion. Order ELFs ensure thateach of their orders is at no more than one order umpire in fast symbolmode. An umpire is solely responsible for ending its own fast symbolmode.

Some processes are permanently in fast symbol mode. They are called“forced” processes. No fast symbol notification is broadcast in thiscase because it is assumed that any oE that registers and participatesat an umpire that has a forced process knows that it will not be giventhe chance to affirm an order that it has given to the umpire.

Conventional trading systems are forced processes.

The in-process state will now be discussed.

When an umpire is about to start a process that requires it to enter the“in-process” state such as an auction or match, the umpire posts thischange of state to system status board 74. Other umpires that wish toact upon an order check system status board 74 to ensure that none ofthe umpires at which the order is represented have gone in-process priorto the current umpire.

There are two kinds of in-process states: those that apply to all ordersin an umpire, and hose that apply to selected orders at an umpire. Whenany periodic umpire begins its processing/pricing cycle, it indicates tosystem status board 74 that it is in-process, as mentioned above. Allumpires before acting on an order test whether it is in-process at aperiodic umpire, and bypass those orders that are. When a non-periodicumpire begins to deal with a specific order, affirmation processing,which occurs in all but fast symbol situations, marks the affected orderas individually in-process until the action with regard to that orderreaches a definitive conclusion, i.e., either the order is executed orit is not. Umpires are responsible for sending end of in-processnotifications. Platform services 60 is responsible for periodicallyassessing the health of umpires, and ensures that orders markedin-process are released on failure of the umpire at which they werein-process.

When an oE registers for a crowd, any bids the oE may make arein-process—no chance for affirmation will be provided and, in this case,may not be canceled.

Platform status monitor 62 will now be discussed.

Platform status monitor 62 prevents deadlocks based on faults such as aninoperative umpire, or a hardware failure such as a node becomingdisconnected from a network. Platform status monitor 62 ensures thatin-process orders at disfunctional umpires are released. Platform statusmonitor 62 returns control of orders at disfunctional fast symbol and/orin-process umpires to the order ELFs that submitted the orders. In otherembodiments, platform services 60 monitors when umpires change theirstate in the system status board to “in-process” and when the umpiresreset their status to “not in-process” and platform services 60ascertains if an umpire exceeded its parametric maximum time forprocessing and takes appropriate action.

FIG. 9 is a flowchart for platform status monitor 62. At step 3101,platform status monitor 62 sends a status inquiry to all processes itmonitors. In this embodiment, platform status monitor 62 monitorsfunctioning umpires to ensure they are functioning. At step 3102,platform status monitor 62 determines, for each status inquiry, if therewas a response within the expected response time. If all umpires respondwithin the expected response time, processing proceeds to step 3104. Foreach status inquiry that was not responded to in time, at step 3103,platform status monitor 62 executes a validity check. If the validitycheck process indicates that the umpire is not in a valid state,platform status monitor 62 proceeds to step 3117 to advise platformusers of the change in state of the umpire. If the validity checkindicates that the umpire is in a valid state, processing proceeds tostep 3104. After an umpire has been found to be in an invalid state,error processing (not shown) is executed.

At step 3104, platform status monitor 62 receives a message from anumpire or ELF and classifies the message.

If the message is that a process has died, platform status monitor 62proceeds to step 3117.

If the message is that a timer has expired, platform status monitor 62proceeds to step 3105. An example of an expired timer is when an orderELF has not received a response in an expected time from an orderumpire.

If the message is that a timer has been requested, platform statusmonitor 62 proceeds to step 3125.

At step 3105, platform status monitor 62 sends an “are you alive”message to the umpire and checks whether the umpire responded thereto.If not, then at step 3117, platform services 60 platform status monitor62 updates system status board 74 and at step 3120, broadcasts thechange in market status. If the umpire responded to the “are you alive”message, then at step 3110, platform services 60 asks a human computersystems operator for advice. At step 3115, platform services 60 checksthe response from the human operator. If the operator has givenpermission to cancel, then processing proceeds to step 3117. If theoperator has not given permission to cancel, then at step 3125, platformservices 60 sets a timer and notifies the message sender that a timerhas been set.

Platform Services: Contra-Party Preference Updating

FIG. 10 is a flowchart that shows contra-party preference updatingprocessing. Generally, contra-party preference updating tracksinteraction between market participants. Based on the track recordestablished by the parties, and their preferences determined by thisprocess, the oEs may allow or disallow future transactions. Order room70 can designate a contra-party as one of a set of predetermined states,such as “friendly” or “rogue.” Order room 70 can also designate (i) acomparison time (hours, days or months, or some combination thereof),(ii) a number of trades as an experience threshold, and (iii) a numberas a neutrality threshold for each contra-party. An aspect ofcontra-party preference updating is that users assign contra-parties tocategories based on the users' preferences, while system 5 computesstatistics and assigns contra-parties to another set of categories basedon the computed statistics.

All umpires, including oU 30, record each trade between contra-parties.A process of platform services 60, namely, contra-party preferenceupdating 63, executes as a background process to update its database ofcontra-party preferences. Each pair of market participants can have itsown two-sided rating, allowing each market participant to independentlyspecify a scheme for contra-party rating. Generally, after oE 10 and oE12 participate on opposite sides of an order pairing, oU 30 makes arecord of the trade. Subsequently, contra-party preference updating 63reads the trade record and updates both sides of the rating between oE10 and oE 12. In some embodiments, oU 30 updates the rating, either aseach trade is recorded or in a batch process at a predeterminedinterval, such as every minute.

During execution, contra-party preference updating process 63 reads therecords made by oU 30 and the other umpires of the trades by allparties. Humans assign certain ratings such as “friendly” or “rogue” fora contra, and “anonymous” for themselves. Statistical ratings areassigned by contra-party preference updating 63, such as “well-behaved,”“apprentice,” “new” and “naughty.” The statistical ratings are assignedby figuring out how much money is being made or lost, on a per sharebasis, over enough trades to be of significance, with each umpire ortrader specifying the significance threshold. The human assigned ratingand the statistical ratings are integrated by, e.g., assigning scores tothe various human provided ratings and normalizing the statisticalratings to the human provided ratings.

For each trade, contra-party preference updating 63 compares the priceat the comparison time with the trade price to determine whether theparty has gained money or lost money trading with the contra, referredto as “trade comparison tracking” and updates statistics. Contra-partypreference updating 63 also notes the amount of money gained or lost,and maintains the amount gained or lost on a per share basis. If the pershare amount is less than the neutrality threshold, then contra-partypreference updating does not change the classification. In otherembodiments, instead of maintaining a per share average, contra-partypreference updating 63 maintains a cumulative total. If the per-sharetotal indicates that the party has gained money trading with the contra,then contra-party preference updating classifies the contra-party,according to the criteria of the order room, as “well-behaved.” If theper-share total indicates that the party has lost money trading with thecontra, then contra-party preference updating classifies thecontra-party as “naughty.” If desired, contra-party preference updating63 can also classify a contra-party as “apprentice/promising” based on acomparison of computed statistics with user-set thresholds.

It will be appreciated that order room 70 can indicate preferences inthis manner, typically in its call list, such as “friendly,” and canrefuse to trade with contra-parties designated, for example, as “rogue.”Further, order room 70 can opt out of being classified by contra-partiesby classifying itself as “anonymous.” However, oU 30 can still performstatistical computations on anonymous parties. Having performed theabove analysis, at step 1430, contra-party preference updating revisesits contra-party preference database.

An example of contra-party preference updating will now be discussed.Let parameters be defined as follows:

trade-shares number of shares in a particular trade trade-price pricefor a particular trade comp-price a comparison price, such as the marketprice at a predetermined time relative to the trade, or an executionprice at some time interval relative to the trade total-shares the sumof trade-shares for a set of tradesThe system statistical metric is defined as follows, with the summationbeing over all trades in the set of trades:METRIC=(total shares)⁻¹Σ(trade-price−comp-price)*trade-sharesFor a set of contra ELFs, whose identity may remain anonymous, let it beassumed that the following metrics have been computed:

total-shares METRIC contra ELF 1 200,000 −0.21 contra ELF 2 500,000+0.04 contra ELF 3 10,000 +0.50 contra ELF 4 125,000 +0.11 contra ELF 50 0Let it also be assumed that the trader has supplied a “rogue” list asfollows (ELF 2), and that ELF 2 has elected to opt out of having itsperformance tracked by specifying itself as “unknown,” and that thequantity threshold for “apprentice” level is 50,000 shares.

A contra-ELF is classified as one of the following ordered categories:

friendly on a trader supplied list of friendly contra ELFs well-behavedMETRIC ≧ .1, and not (on any trader-supplied lists or unknown orapprentice or new) apprentice total-shares < a specified quantitythreshold, and not (on any trader-supplied lists or unknown or new) newno trade history relative to this contra ELF, and not (on anytrader-supplied lists or unknown) unknown the contra ELF does not peunitprice comparison tracking of its trades naughty METRIC < .1 and not (onany trader-supplied lists or unknown or apprentice or new) rogue on atrader supplied list of rogue contra ELFsIn this example, the contra ELFs are as follows:

well-behaved ELF 4 apprentice ELF 3 new ELF 5 unknown ELF 2 naughty ELF1The call list for this order ELF may be as follows, assuming sevenlevels of disclosure, with level 1 being the least amount of disclosureand level 7 being the most amount of disclosure:

-   -   (i) if (a contra ELF is on my specified disclosure list) then        (provide disclosure as specified); or    -   (ii) if (a contra ELF is well-behaved or better) then (disclose        at level 6); or    -   (iii) if (a contra ELF is naughty or worse) then (disclose at        level 2);    -   (iv) else (disclose at level 4).

It should be understood that this scheme of permitting the order room tospecify formulae for the establishment of its contra-party preferencesalso allows the order room to force preferences for particularcontra-parties, named both explicitly and implicitly. Implicit namingallows the order room to refer to a particular contra-party even thoughit was unknown to the order room at the time. Implicit referencesinclude, among others, specifying the contra-party by the time at whichsome pairing occurred, or by specifying the order room's order on theother side of which was the contra-party to be identified.

In this embodiment, contra-party preference updating 63 is substantiallyan off-line batch process. In other embodiments, contra-party preferenceupdating 63 is integrated with real-time on-line operations so thatcontra-party preferences change dynamically based on trading history.

In a modification, oE 10 can specify the rules for assigning a categoryto a contra-party. For example, if a contra-party has negotiated n timesbut never agreed to a pairing, then the contra-party should beclassified as a rogue.

In some embodiments, the rules for assigning contra-parities tocategories are defined by order umpires. Accordingly, contra-partyratings are specific to an umpire, that is, oE 10 and oE 12 may beunacceptable trading partners at oU 30, but may be acceptable tradingpartners at oU 32.

Platform Services: System Status Board

FIG. 11 shows system status board data structure 74 maintained by systemstatus board process 64C of platform services 60. System status board 74includes one entry for every umpire in system 5. Among the fieldsmaintained for each umpire are:

-   -   Open/closed/suspended—a field that reflects the operational        status of the umpire, e.g., whether the umpire is available and        is open or closed, or whether it has been suspended and when.    -   Open/fast symbol/in-process—a field with one or more subfields,        each reflecting the status of each symbol processed by this        umpire, e.g., whether the symbol at that umpire is:        -   1. Fast mode symbol—available, but not allowing affirmations            from the ELF prior to pairing.        -   2. In-process—a periodic market is processing its orders.            During the time the umpire is in-process, it will not allow            any operations on the order, such as cancel.        -   3. Suspended—trading in a symbol has been suspended by a            market authority.        -   4. Closed        -   5. Open—none of the above.    -   List of ELFs registered—the identity and disclosure levels of        all ELFs currently registered at this umpire.

An umpire grants an access right to an ELF for the information in systemstatus board 74 for a particular depth of information relating to theumpire. An order umpire can learn about any ELF registered therewithfrom system status board 74. An ELF checks with an umpire to find outabout another ELF.

A function of system status board 74 is to make it easy for order ELFsto obtain the status of an umpire, that is, centralizing umpireinformation in system status board 74 removes the need for an order ELFto query an umpire merely to ascertain the status of the umpire oranother ELF.

Another function of system status board 74, used in conjunction withorder tails, is to help order umpires manage the simultaneity arisingfrom the ability of an order to be in multiple markets. Each order ELFis responsible for ensuring that the order tails of all of its ordersaccurately reflect the order umpires at which the order is posted. Anumpire, such as a match umpire, checks an order's order tail beforeexecuting the order to rapidly find the order umpires at which the orderis posted, then checks system status board 74 to determine if any ofthese order umpires entered an in-process state earlier than this umpireentered its in-process state. If so, this order umpire skips the order.If not, this order umpire deems itself as having authority to executethe order according to its process methodology. Without system statusboard 74, this order umpire would have to ask for affirmations on anorder-by-order basis, and wait for all responses before it could act;this is time-consuming and generates a lot of intra-system traffic.

FIG. 12 is a flowchart showing processing for system status boardprocess 64.

At step 5105, system status board 64C classifies the traffic, performsappropriate processing at step 5110 or 5115, returns results, if any, atstep 5120 and processing is complete.

At step 5110, traffic coming from an umpire, an ELF or platformservices, such as master umpire platform status monitor 62, sets orresets the corresponding status data for that umpire or ELF.

At step 5115, system status board 64C checks whether a requesting partyhas authorization for information it is requesting, and if so, respondsto the request for the status of an order umpire or order ELF.

At step 5120, system status board 64C returns the results of its effortsto the requesting party.

Platform Services: Market Status Board

FIG. 13 shows market status board data structure 75 maintained by marketstatus board process 65 of platform services 60. Market status board 75enables fast discovery by an order ELF.

Market status board 75 functions as a combined order book for allumpires in system 5. Umpires reveal to market status board 75 all theirorders. Each ELF receives a certificate from an umpire authorizing theELF to access certain information. Accordingly, since an order may berepresented at multiple umpires, the same order may be representedmultiple times on market status board 75.

FIG. 14 is a flowchart showing market status board process 65.

ELFs can access market status board 75, but are limited to thoseportions to which they are entitled. ELFs get entitlement from umpiresat registration, via certificate. As discussed elsewhere, access mayalso be limited by the disclosure levels of the ELF that posted theorder. In one embodiment, umpires transmit any changes to their booksvia broadcast services 66 and market status board 65 receives thesetransmissions and updates market status board 75. In another embodiment,market status board process 65 observes the books of the order umpiresand updates market status board 75 accordingly.

At step 5205, market status board 65 classifies the traffic.

At step 5210, market status board 65 listens to the unsolicited markettraffic from umpires and updates its copy of the orders in the marketstatus board.

At step 5215, market status board 65 receives a request for informationand retrieves the requested information.

At step 5220, market status board 65 returns a result to the requestor.

The concept of a centralized limit order book (CLUB) is well-known. ACLUB assumes that all parties from a variety of markets send theirorders to one book which is centrally controlled. In contrast, marketstatus board 75 has distributed control, as access to the information iscontrolled by the umpire that submitted the information, and the accessrights may depend on the identity of the order ELF holding the accessrights. Platform services 60 enforces the access rights to informationmechanism.

In other words, the conventional CLUB assumes that control overinformation is associated with possession of the information, whereassystem 5 separates control over information from possession of theinformation.

Platform Services: Broadcast Services

Broadcast services process 66 of platform services 60 is a mechanism fortransmitting unsolicited data from umpires to any interested ELFs. Insome embodiments, broadcast services 66 transmits all data generated byumpires to ELFs. Only umpires may supply data to broadcast services 66for broadcast and only ELFs (or platform services) may listen for thedata that interests them. Furthermore, ELFs are restricted to listeningfor data for which they are authorized. Access may also be limited bythe disclosure levels of the ELF that posted the order. When ELFs arerestricted to using only non-modifiable code, a user cannot readilycreate a situation, intentionally or unintentionally, in which itaccesses data to which it has no permission.

At step 5310, broadcast services 66 sends data as provided by an umpireto be broadcast over a specified channel and exits. As used herein, achannel is a communication path between an umpire and an ELF, or betweenplatform services and an umpire, or between platform services and anELF.

Order ELF Setup

FIG. 16 is a flowchart of the set-up phase for an oE, such as oE 10.

At step 305, a user such as a trader selects a template for oE 10 from aset of standard templates or, in some embodiments, from a previouslyapproved custom template. A custom template is privately written logic,and may or may not contain calls to decision engine 100. When ELFs areprohibited from including privately written code, their behavior can bemore readily managed, which makes system 5 more powerful andtrustworthy. As explained further below, when decision engine 100 iscalled, a decision table, such as decision table 110, must be specified.At this time, an instance of the selected template is created.

At step 310, data structures for the oE are allocated and initialized.Generally, data for oE 10 is kept in ELF data structure 145. Table 3shows a skeleton for ELF data structure 145. The ELF data structure 145includes, for example, instrument type and instruments used, call list,decision table in use, its links (see Table 8, below), disclosure level,time-outs, how many orders have been processed by oE 10, statistics onthe number of buys vs. sells for each symbol represented, statisticsrelating to orders received from order room 70, variables reflectingexternal data and so on.

TABLE 3 Field Description Instrument type Type of instrument that thisELF can handle. Characteristics include how prices are quoted, e.g.decimal, or sixteenths, currency. Instruments List of symbols within theinstrument type, e.g., IBM and DELL. Decision table Decision table inuse Call list A list of parties to whom an order may, or may not, beshown and what the disclosure signature will be for each listed party.Links table Links to umpires and data sources (see Table 8, below)Time-outs Time-out periods that are required for operation of this ELF.e.g., discovery time-out, and maximum time-out for umpires in-process.Disclosure Maximum disclosure level that this ELF can allow Statisticsfields Statistics kept by the ELF, e.g., buys and sells for eachinstrument. External variables Storage for variables obtained fromumpires

At step 320, the user specifies decision logic for oE 10, including thedecision table and the following decision making parameter:

-   -   DTO (discovery time out) specifies the maximum time that the oE        will wait for discovery. Table 4A shows order 115, as received        from order room 70. oE 10 has a separate instance of Table 4A        for each order represented by oE 10.

TABLE 4A Field Description Ordinary Ordinary order fields Order FieldsOrder Additional order fields that augment the order room's Extensioninstructions for this order. For example, the order room may makeprocess-specific parameters available to the ELF to use in its selectionof umpires, acceptance of prices, and so forth Order Tail List ofumpires at which this order has been posted

Table 4B shows the Ordinary Order fields from Table 4A.

TABLE 4B Field Name Description Instrument type Type of instrument inthis order, e.g., level of price granularity (eighths, tenths). SymbolThe symbol used to represent the individual item being bought or sold,e.g., IBM Side Buy, Sell, or Sell-Short Price Price is the amount of onetrading unit of the item that the buyer/seller represented by this orderis willing to pay/accept for the trade and to disclose to the public. Inthe case of an auction, this would be either the reserve (upset) priceor the opening bid price. Size The number of trading units beingbid/offered. Minimum Lot Minimum lot size of the order. If a tradeoccurs where Size multiple contra orders are needed to fill this order,this is the minimum size of the combined contra orders. Order TypeMarket, Limit, Stop, Trial, and so on Time In Force How long the orderis valid, i.e., At Opening, Day, Good ′til cancelled, Immediate orCancel, Fill or Kill, and so on.

Table 4C shows the Order Extension fields from Table 4A. The fields ofTable 4C are for features not in conventional systems but supported insystem 5. Table 4C is associated with the ordinary order fields of Table4B, which comprise order 115.

TABLE 4C Field Name Description Linked Order Indicates whether thisorder is one leg of a set of linked orders. Action What the ELF shoulddo with the order, e.g., Validate, Execute, route and so on Code A codeindicating, for example, how much will be paid/accepted for a trade.Stoppable Whether this order can be used to satisfy a contra-party'sstop request. Alpha An alphanumeric message with information to be usedin conjunction with processing this order Price How insistent is thecustomer on a better price for the Aggressiveness order. Time Urgency Ameasure of the urgency to fill this order. The higher the urgency, thebetter (for a potential contra party) the price that will bebid/offered. Call List List of eligible parties with associateddisclosure signatures. Overrides A list of checks that can be bypassed,such as total order cost.

Table 4D shows the order tail from Table 4A. The order tail is a list ofall the umpires at which the order is currently represented.

TABLE 4D Umpire-1 Umpire-2 . . .

FIG. 17 shows decision table 110 consisting of sections {S-1, S-2, . . .S-s}, holding tanks {H-1, H-2, . . . H-h}, and waiting orders {order-1,order-2, . . . order-n}. Each section and each holding tank has thestructure shown in FIG. 18, that is, rows of condition cells and actioncells. The condition cells and action cells in a row are sometimesreferred to as a rule. Decision table 110 determines the subset ofumpires at which oE 10 will attempt discovery for a particular order.

Section labels {S-1, S-2, . . . S-s} each identify a respective sectionin decision table 110, and are used when the action in an action cell isto go to a particular section. Each condition cell represents onecondition, such as “if the weather is sunny” or “if the price of XYZoption has changed by more than 10% in the last hour” and so on. Whenall of the conditions are present, that is, all of the condition cellsevaluate to being “true,” then the order is actionable and the actioncells are executed by decision engine 100 of oE 10. Each action cellrepresents one action to be taken, such as “buy 100 XYZ at market” or“ask eU 40 for its projected value of XYZ” or “go to section 8 of thisdecision table.” The sequence of execution of the actions is indicatedby the actions themselves, either implicitly by their placement in thedecision table, or explicitly by “go to” actions.

In some embodiments, the condition cells are evaluated according to aBoolean formula, including AND, OR and/or NOT operators. In someembodiments, the action cells are evaluated according to a Booleanformula.

Generally, parameters for conditions are related to the order itself orto market conditions. At least one rule should be based on the orderitself and be executable; the action may be to put the order in aholding tank until one or more conditions change. Holding tanks may beemployed to wait for either external or internal conditions, or both.

If none of the rules in the decision table are executable for an order,then an error message is generated.

A holding tank is a storage area for an order, or a pointer to theorder, and associated conditions that need to occur to remove the orderfrom the holding tank, and actions to take when the conditions are true.The order in the holding tank may have an associated rule consisting ofa rule condition (when the market is above kkk) and a rule action (go tosection aa of decision table xxx) (k, a, and x are arbitrary integers).Additionally, the order in the holding tank may have other rules, one ofwhich may contain a rule condition (when time=nnnn) and a rule action(go to section 1 of decision table mm) (n and m are arbitrary integers).As shown in FIG. 17, there may be several holding tanks in decisiontable 110. Each holding tank may be created with a different set ofconditions such that all orders placed therein are evaluated against thesame set of conditions. For example, one holding tank may be set up toevaluate when a certain period of time has elapsed, while anotherholding tank may be set up to evaluate when a market index has reached acertain level. The conditions specified may be arbitrarily complex.

It will be appreciated that decision table 110 may be implemented invarious ways, such as a table or series of files.

Generally, an ELF makes a decision using a decision table, a set ofconditional rules applied at the specified point in the trading process,such as when an order is received, when a price is first received, whena price improvement opportunity is received when the ELF is in the crowdfor an umpire, or upon reporting of an execution to make an allocationof the executed quantity among appropriate parties. The ELF'sdecision-making parameters are transparent to an umpire. Tables 5-7provide examples of decision tables.

TABLE 5 Security Size Price Action XYZ any last sale ± 5% takeThe rule in Table 5 is that, for any size order, if the price is within5% of the last sale price, then take the offered price.

TABLE 6 Security Size Price Action XYZ any ask improved 25% and take T2< 3 XYZ <10,000 ask improve any & counter-offer (trend = away) (askimprove .1) XYZ <10,000 ask improve any & request auction (trend =toward) XYZ any any crowd

The first rule in Table 6 is that if the offered price is better thanthe market ask price by 25% and the umpire returns a price within 3time-units, such as seconds, then take the offered price. The secondrule in Table 6 is that, for any amount less than 10,000 shares, if theoffered price is better than the market ask price by any amount, and themarket trend is away from what would be a better price, thencounter-offer by the market ask price adjusted by 0.1. The third rule inTable 6 is that, for any amount less than 10,000 shares, if the offeredprice is better than the market ask price by an amount, and the markettrend is towards a better price, then request an auction. The fourthrule in Table 6, applied when none of the prior rules have been able tobe used, is to join the crowd. Table 6 is defined so that it can beapplied whether the order is to buy or sell. In other cases, a rule iswritten so it applies only when buying, or only when selling.

TABLE 7 Security Size Price Action XYZ any ask improved 25% take XYZ<10,000 (ask improve any) & counter-offer (offered improved 5% (askimprove 10%) over previous offered) twice then (take if within approvedprice) XYZ <10,000 ask improve any & request auction (trend = toward)XYZ any any order roomTable 7 is similar to Table 6, except as noted. In the second rule ofTable 7, for any amount less than 10,000 shares, if the offered price isbetter than the market ask price and at least 5% improved over thepreviously offered price, then counter-offer twice by improving theprice by 10% and on the third iteration, take the offered price ifwithin the approved price. The fourth rule in Table 7, applied when noneof the prior rules have been able to be used, is to request instructionsfrom the order room.

Operational uses of decision table 110 specified at step 320 of FIG. 16include:

-   -   1. Deciding which umpires to utilize for each order;    -   2. Specifying acceptable and/or unacceptable contra-parties;    -   3. Evaluating whether to accept a proposed pairing;    -   4. Provisional price acceptance processing;    -   5. Determining whether and how to make a counter-offer, and any        modifiers for the counter-offer;    -   6. Deciding whether to join and remain in the crowd for an        umpire;    -   7. Deciding whether to post an order with an umpire; and    -   8. Deciding whether to offer an improved price during a price        improvement period of an umpire.        In some embodiments, instead of specifying some or all of the        above logic, decision table 110 of oE 10 may indicate that order        room 70 should be apprised of the existing situation and provide        a decision.

Each rule may also specify a time for taking action, expressed as eitheran absolute time, e.g., at 10:20 a.m., an offset time, e.g., 10 secondsbefore the market closes, a conditional time, e.g., when eU 40 advisesacting, or a complex conditional time, e.g., 23 seconds after eU 40advises acting. A rule may specify “wait” as an action.

FIG. 19 shows symbol table 150, essentially a set of rows, each rowhaving the following fields: name of symbol, type, attributes, defaultvalue and value. Symbol table 150 is used to pass parameters in and outof the decision engine 100. Symbol table 150 contains all symbols usedin conditions and actions in decision table(s) 110. An example of anattribute is “base class,” and the default value is used unlessexplicitly overridden by another value. A base class is the structurefrom which the “type” of this symbol is derived. During oE 10'soperational phase, when an order is received, the decision table will beused to determine, among other purposes, which of the registered umpiresto utilize for that order.

At step 330 of FIG. 16, links are allocated and initialized with thelist of umpires and data sources supplied by oE 10's creator. The linksare pointers to the umpires to which this ELF will attempt to connect totransact its orders, to obtain services, or to obtain other data that itrequires.

At this point in its setup phase, oE 10 attempts to register with thelinked umpires and where registration is accepted, obtains umpireparameters and populates an instance of umpires table 140, shown inTable 8, for each umpire with which oE 10 is registered. The umpireparameters returned by an umpire to oE 10 may depend on thecharacteristics of oE 10.

TABLE 8 Field Name Description Name The name of the Umpire for this rowof the table. Method The pricing method this Umpire uses. Method Themeaning of this field depends on the method. An example would be theModifier rebate paid by this Umpire for each trade executed with him.Another example is whether auction mode during discovery is supported.T1 How long this umpire takes to complete discovery. In-Process Themaximum amount of time that the Umpire will require when it is in- Timeprocess. An example is how long this umpire takes to run an auction.Stop fee The charge an umpire levies per share for issuing a stop. T2How long prices obtained during discovery are valid. Values may be“soft,” meaning that the price is an indication only, or “instant,”meaning that the price is good for long enough to get electronicconfirmation, or the length of time that the price will be held. Code(Y/N) Does this Umpire return codes for prices. Alpha (Y/N) Does thisUmpire return alphas for prices. Value (Y/N) Does this Umpire returnvalues for prices. Depth How deep will the Umpire let this order ELFlook into its book. Packages Whether this Umpire supports (within thissame Umpire) linked orders. Contra (Y/N) Will this Umpire disclose whothe contra parties are Discovery Posting Regular or first look (OTC).Under first look posting mode, if an order is Mode posted inside themarket, the ELF representing the best bid or offer on the other sidewill be given a period of time to see the new order before it is visibleto others. Market Open The time the market opens. Time Market Close Thetime the market closes. Time Table of The trading symbols that thisUmpire handles, and their current status, i.e., Symbols tradingsuspended.Table 9 shows Price Response Table 120 that represents, for all umpiresat which oE 10 has discovered prices for a particular order 115, thediscovered prices. Price Response Table 120 includes the prices taken sofar and the prices that oE 10 attempted to take.

TABLE 9 Field Name Description Symbol The symbol used to represent theactual item being bought or sold. Side Buy, Sell, or Sell-Short Size Thenumber of trading units being bid or offered. Cumulative Total number oftrading units represented by all entries in Size the price responsetable up to and including this entry Price The amount of one tradingunit of the item that the contra is willing to pay/accept for the trade.Code A private code defined between a given umpire and ELF, indicating,for example, how much will be paid/accepted for a trade, or that theumpire will meet the “Best market price.” Alpha An alphanumeric messagewith information, for example, on how to proceed with the trade. Such as“Call Jim @ 212-343-9410.” Cumulative Weighted average price of alltrading units represented Average by all entries in the price responsetable up to and including Price this entry Umpire The name of the umpirefrom which this price came. Name

At step 340 of FIG. 16, action parameters are specified, includingspecial representation functions such as auctions, if any, anddisclosure policies operative when oE 10 is in the crowd for an orderumpire. The action parameters must be consistent with the methodsoffered by an umpire. The following action parameters are alsospecified:

-   -   Participation specifies whether the oE will register in a crowd,        and if so, to what degree it will be disclosed to other oEs in        the crowd:        -   1. not in crowd—not registered in the crowd        -   2. do not disclose—in the crowd, but anonymous        -   3. ordinary—in the crowd, disclosed, but not representing a            large block        -   4. serious—in the crowd, disclosed, and representing a large            block

There is one instance of order control table 130 for each orderrepresented by oE 10. The order control fields are a control mechanismfor the order so that oE 10 can keep track of what is live at eachumpire. In this embodiment, oE 10 does not keep a transaction history.

In one embodiment, order control table 130 comprises one or moreinstances of Table 10. Each instance of Table 10 can be thought of as arow in order control table 130, shown in FIG. 20. There is one row inorder control table 130 for each umpire at which some part of the orderis represented. Each row in order control table 130 is used to keeptrack of that part of the order that is at the umpire named in the rowin any state other than executed or canceled, e.g., posted, orin-process. FIG. 20 illustrates order control table 130 as havingentries for three umpires: umpire 342, umpire 30 and umpire 154,indicating that at least a portion of the order has been sent to each ofthese umpires.

TABLE 10 Field Name Description Name The name of Umpire where this orderis represented. In-process (1) The number of shares, if any, at thisumpire that are in-process due to ELF originated actions. Posted AmountThe number of trading units posted at this umpire Posted Price Price atwhich the amount, above, was posted In Crowd The number of trading unitsrepresented in the crowd In-Process (2) The number of shares, if any, atthis umpire that are in-process due to umpire originated actions..Reserved The number of trading units reserved at this umpire Amount(e.g. stop granted). Reserved Price The price of each trading unit forwhich the stop was granted Reserved Time The time at which this stopexpires. Pending Queue A queue of actions pending, if any, for thein-process shares at this umpire

In some embodiments, in addition to the rows in order control table 130,order control table 130 may contain summary fields that sum over all ofits rows, or sum over all rows for each umpire, or both. For example,there may be a summary field, Total Amount In-process, that sums theIn-process Amount field for all rows in order control table 130.

It will be seen that an oE can be defined entirely by parameters anddecision tables set by the user, such as order room 70, or can bedefined by a combination of parameters, decision tables and privatelywritten code. In some embodiments, privately written code from the useris not supported.

During oE setup, oE 10 receives parameters from order room 70 thatspecify with which umpires to register and how to determine, during oEoperation, which of the registered umpires to utilize during theprocessing of any order. During oE operation, described below, as oE 10executes decision engine 100, passing from section to section ofdecision table 110, shown in FIG. 17, oE 10 selects umpires for aparticular order from umpires table 140, shown in Table 8, whichcontains umpires with which oE 10 is registered.

Order ELF Operation

FIGS. 21-43 are flowcharts depicting the operation of an order ELF, suchas oE 10.

As shown in FIG. 21, after oE 10 is set up, at step 405, it waits for anevent, responds appropriately, shown in detail for each event in aseparate flowchart, and then returns to step 405 to wait for anotherevent.

At step 410, oE 10 receives traffic from the order room, invokes thelogic shown in FIG. 22, and then returns to step 405.

At step 415, oE 10 receives traffic from an order umpire such as oU 30,invokes the logic shown in FIG. 32, and then returns to step 405.

At step 420, oE 10 receives traffic from an evaluation umpire such as eU40, invokes the logic shown in FIG. 42, and then returns to step 405.

At step 425, oE 10 receives a traffic from platform services 60, invokesthe logic shown in FIG. 43, and then returns to step 405.

FIG. 22 is a flowchart showing how oE 10 responds to receiving messagetraffic from order room 70.

At step 430, oE 10 determines the type of the traffic, and respondsaccordingly.

If the message is order-type traffic, then at step 435, oE 10 invokesthe logic shown in FIG. 23, and then proceeds to step 450.

If the message is a command message, then at step 440, oE 10 processesthe command, which directs the processing of orders such as signalingthe beginning or end of direct trader control, or supplying,interactively, parameters to be used in the processing of an order suchas contra-party preference information (“friendly” or “rogue”) andassociated trading quantity and discretion information, preferenceinformation about this order ELF (“anonymous”), and then oE 10 proceedsto step 450.

If the message is a control message, then at step 445, oE 10 processesthe control message, which directs the operation of the ELF such asstarting and stopping operations, or changing the list of umpires withwhich to register, and then oE 10 proceeds to step 450. Among thecontrol messages the order room can send to the ELF is an instruction tochange “phases” taken into account in-processing of decision table 110to select among several processing strategies. For example, there may beone strategy for securities prior to the closing of the NYSE and adifferent one after that.

At step 450, oE 10 informs order room 70 of the status of the order,command, or control, and processing returns to FIG. 21, step 405.

FIG. 23 is a flowchart showing how oE 10 responds to order-type trafficfrom order room 70.

At step 454, oE 10 determines whether the traffic is an inquiry messageor a cancel order instruction. If not, processing proceeds to step 455.If so, processing proceeds to step 460.

At step 455, oE 10 performs new order reception processing, generallycomprising validating the order by checking that the order is a legalorder and logically consistent, i.e., in the proper format, does nothave contradictory fields, has parameters in acceptable ranges, such asbeing for an element (trading symbol) suitable for oE 10 and suitablefor at least one order umpire. While most of the validation is done inthe order room, some of the available information may have changed fromthe time the order was processed at the order room and the time the ELFinitiates processing that order. For example, an umpire may no longer beavailable, or a trader's authorization limit may have been exceeded. oE10 stores the validated order and acknowledges that it is stored to itsuser, order room 70. In addition, oE 10 rescans the links for allumpires selected for this order to determine their current status,including their current availability.

At step 470, oE 10 invokes the logic shown in FIG. 24, and thenprocessing of order-type traffic is complete.

If the traffic was an inquiry message or a cancel order instruction,then at step 460, oE 10 determines the type of the message traffic, andresponds accordingly.

If the message is a “cancel order” message, then at step 465, oE 10invokes the logic shown in FIG. 29A, and then order-type trafficprocessing is complete.

If the message is an inquiry, then at step 466, oE 10 invokes the logicshown in FIG. 31, and then order-type traffic processing is complete.

FIG. 24 is a flowchart showing how oE 10 processes an order. At step505, oE 10 ascertains how much discovery is required for this order. Ifnone, oE 10 proceeds to step 535. If this order can utilize marketstatus board 75 to obtain prices for this order, oE 10 proceeds to step512, invokes decision engine 100 to obtain prices from market statusboard 75, at step 529, adds the prices obtained from the market statusboard to its prices response table, and proceeds to step 535. If fulldiscovery is required, then at step 510, oE 10 tests whether this orderis under direct trader control. If so, at step 515, oE 10 solicits theorder room for the discover list for this order. If the order is notunder direct trader control, at step 520, oE 10 invokes decision engine100, shown in FIG. 25, to determine the discover list for this order. Atstep 533, oE 10 performs full discovery as shown in FIG. 26 using itsdiscover list. Processing continues at step 535.

During auction mode discovery, an inquiring order ELF can accept auctionmode pricing, meaning that if any order ELFs in the crowd for the umpireprovide a better price than what is in the book, the inquiring order ELFmust accept the crowd price. As an example, assume that inquiring oE 10asks superbook oU 30 for a quote for 10,000 shares of the symbol beingtraded at oU 30, and states that oE 10 accepts auction mode. Severalscenarios are possible:

-   -   oU 30 has no crowd order ELFs, or none of its crowd order ELFs        provides a better price. Here, oU 30 returns a price, or        possibly a series of prices, and inquiring oE 10 is not        necessarily obligated to execute based on the prices.    -   oU 30 gives its crowd of order ELFs an opportunity to improve oU        30's proposed price. One of the crowd order ELFs provides a        better price for all 10,000 shares. oE 10 must pair its 10,000        shares with the crowd order ELF.    -   oU 30 gives its crowd of order ELFs an opportunity to improve oU        30's proposed buy price of “3,000 shares at 16 and 7,000 shares        at 15.5.” One of the crowd order ELFs states that it will buy        5,000 shares at 15.7. oE 10 must pair 3,000 shares at 16 and        5,000 shares at 15.7. oE 10 can decide whether it wants to pair        the remaining 2,000 shares at 15.5.

At step 535, oE 10 executes a decision process to build an action list,shown in FIG. 27. An “action” can consist of, among other things,“taking” some portion of an order discovered at an umpire, posting partof the order at some umpire, routing an order to an umpire forprocessing, joining the crowd at some umpire, or forwarding obtainedinformation to order room 70. It will be understood that the mechanicsof taking part of an order and posting may differ by umpire, but theinterface with the ELF is uniform and the result of posting is that theposted order quantity is available to interact with the umpire and/orthe umpire's crowd subject to the umpire's methods. At step 545, oE 10acts on the actions in the just-created action list, such as bytransmitting the actions to umpires, as shown in FIG. 28, or sendingdiscovery information to the order room. Order processing is nowcomplete. FIG. 25 is a flowchart showing decision engine 100. Morespecifically, when oE 10 is executing the logic shown in FIG. 25, oE 10is operating as a decision engine. At step 602, oE 10 initializes to thespecified decision table, such as decision table 110 shown in FIG. 17,and corresponding symbol table, such as symbol table 150 shown in FIG.19. At step 604, oE 10 initializes to the first section in the specifieddecision table. At step 606, oE 10 initializes to the first rule of thefirst section. At step 608, oE 10 initializes to the first cell of thefirst rule of the first section. At step 610, oE 10 evaluates theconditional expression in the first cell. At step 612, oE 10 testswhether its evaluation is TRUE. If not, then at step 614, oE 10 skips tothe next rule and repeats platform services at steps 608-612. When aconditional expression is TRUE, then at step 616, oE 10 tests whetherall the condition cells in the rule have been evaluated. If not, then oE10 returns to step 610 to evaluate the next condition cell in the rule.When all of the condition cells in a rule have been evaluated, oE 10proceeds to step 618.

It is assumed that the last rule in a section is an exit rule. In otherembodiments, this may not be the case, and so after step 614, there is atest for remaining rules in this section, and if none remain, processingproceeds to another section. Finally, if there are no more sections andno rules were applicable, in these other embodiments, appropriateexception processing occurs, such as rejecting the order to order room70.

At step 618, oE 10 initializes to the first action cell in the rule. Atstep 620, oE 10 evaluates the action expression in the rule. An actionexpression is a formulation of operands separated by arithmetic andlogical operations, the syntax of which is defined and similar tostandard programming languages such as Java and C++. The operands mayinclude constants and anything provided in the symbol table, whichincludes numbers, strings, and tables. Tables are indexed. Indices may,in turn, be any legal expression.

If the expression is an assignment, then at step 622, the left-hand-sidesymbol is assigned the result of the right-hand-side expression, e.g.,(P0=P0+1). If the expression is a transfer, then the target of thetransfer is the section named by the right-hand-side expression, e.g.,([TRANSFER]=“section 17”). If the expression is an exit, then the returnvalue is assigned the result of the right-hand-side expression, e.g.,([EXIT]=34). At step 628, oE 10 checks whether there are more actioncells in the rule. If so, the processing returns to step 620 to evaluatethe next action expression. When there are no more action cells in therule, then oE 10 proceeds to step 630 and tests whether all of theaction expressions were assignments. If so, then at step 632, oE 10configures itself to skip to the first rule of the next section andproceeds to step 606. If at least one of the action expressions was notan assignment, then at step 634, oE 10 checks whether the rule resultedin a transfer. If so, then at step 636, oE 10 configures itself to skipto the first rule of the specified section and proceeds to step 606. Ifthe test at step 634 was negative, then the action must be an exit, soat step 638, oE 10 sets its return value to the result specified, andprocessing is complete.

FIG. 26 is a flowchart showing how oE 10 discovers prices for an orderusing the discover list. First, at step 640, oE 10 initializes to startwith the first entry in the discover list. The discover list is a listof umpires at which discovery is to be attempted. It will be recalledthat the discovery list may be received from the order room or createdby oE 10 using decision engine 100 to determine with which umpires toconnect for this order. At step 645, oE 10 attempts discovery at thespecified umpire. Then, oE 10 tests, at step 650, whether there are moreentries in the discover list, and, if so, sets up to attempt discoveryat the next umpire in the list and transfers to step 645. If there areno more entries in the discover list, processing is complete.

FIG. 27 is a flowchart for Build Action List logic whose purpose is toarrange the opportunities discovered during price discovery in orderfrom most attractive to least attractive and to build an action listthat will be used to attempt to fill the order accordingly.“Attractiveness” is a measure that is determined by the rules in oE 10'sdecision table or by the order room if the decision process is underdirect trader control, i.e. manual control. At step 530 in FIG. 26,price-response table 120 was ordered by price. At step 655 of FIG. 27,oE 10 tests if there is direct trader control for this order. If so, atstep 660, oE 10 presents the prices obtained during discovery to theorder room, and obtains the action list and decisions about such thingsas worst-case prices, minimum lot sizes, and whether stops will berequired, and processing is complete.

If the order is not under direct trader control, at step 665, oE 10tests if this is a linked order. If not, oE 10 proceeds to step 685. Ifthis is a linked order, at step 670, oE 10 sends price response tabledata to order room 70, and at step 675, sets a watch flag, or parameter,so that umpire market data updates for the specified instrument aretransmitted to the order room. At step 680, oE 10 marks the waitingfield of the order control block for this order to wait for furtherinstructions from the order room and then processing is complete.

At step 685, oE 10 obtains the values, if any, that the decision logicwill need from various evaluation umpires. At step 690, oE 10 invokesdecision engine 100 to create the action list including the parametersfor the umpires in the action list, such as minimum lot size, andreserve price. The decision process may involve a parameter from othersources. The parameter may be found in, for example, umpires table 140,and/or an externally supplied parameter as referred to in decision table110. An example of a parameter is whether an umpire will make a paymentor give a credit to oE 10 for placing its order with that umpire.Another source of parameters is global parameters accumulated andmaintained in ELF data structure 145. The decision logic at step 690 mayalso include rules for deciding ties based on characteristics of anumpire, or preference for executing portions of an order at the sameumpire and so on. In addition, if the decision logic at step 690 doesnot find enough quantity to fill the entire order from the priceresponse table, it may add entries in the action list to direct oE 10 totake other actions such as joining the crowd or posting at an umpire,triggering an auction, and so on. At step 691, if the action is to postan order to an umpire, oE 10 creates an order tail, shown in Table 4C,for this order and appends it to each action list that posts the orderto any umpire. Other actions, such as sending a stop request order or astop exercise order, do not require an order tail. At step 692, oE 10applies the just built action list to order control table 130, creatingan entry for each umpire at which some action will be taken.

FIG. 28 shows a flowchart for act on actions in action list logic. Atstep 702, oE 10 gets the next entry in the action list. At step 704, oE10 classifies the action by its recipient, if any.

If the action relates to an order umpire, processing proceeds to step706, step 708 and then to step 720. At step 706, oE 10 uses the orderumpire-specified method for acting, such as taking, posting, requestingan auction, requesting a stop, exercising a stop, counter-offering orjoining the crowd. At step 708, oE 10 updates its internal controlstructures, such as its order control table, to reflect the result ofits activity.

If the action relates to a service umpire, such as an evaluation umpire,processing proceeds to step 710 where oE 10 uses the serviceumpire-specified method for acting, such as getting data or requesting aservice, and then processing proceeds to step 720.

If the action relates to platform services, processing proceeds to step712 to send a message to platform services, such as a status inquiry,and then processing proceeds to step 720.

If the action relates to the order room, processing proceeds to step 714to send a message to the order room, such as reporting status, reportinga discovery result, responding to an inquiry and so on, and thenprocessing proceeds to step 720.

If no external action is required, processing proceeds to step 716 forupdating any internal control structures, as needed, and then processingproceeds to step 720.

At step 720, oE 10 checks whether there are more actions in its actiontable, and if so, processing returns to step 702. When there are no moreactions, processing is complete.

For example, let it be assumed that the pertinent portion ofprice-response table 120 is as shown in Table 11, the midpoint of themarket is 18, the order is SELL 1000 XYZ, and the pertinent decisiontable rule is “if (current price is within ¾ point from the market) then(sell).”

TABLE 11 BUY XYZ 17 1/2 500 17 1/4 200 17 300In this example, the lowest price acceptable to the seller under thedecision table rule, above, is 18−¾=17¼. The entries for 17½ and 17¼ areboth acceptable relative to the least acceptable price. The first entryin oE 10's action list might point to the best of these acceptableentries, that is, the first entry in Table 11. At step 706, oE 10 usesthe method associated with the umpire that provided the price to takethe order quantity, and at step 708, oE 10 updates its price-responsetable to reflect the results of the taking at step 706 and its ordercontrol structure. Using the above-described example, the result ofsteps 706-708 would be to take the entry at 17½. At step 720, oE 10determines whether there is any more of the order to fill, and if so,whether there are any actions remaining in the table. In this example,the quantity remaining is 1000−500=500. If so, then oE 10 repeats steps706-720 until the order is filled, or as much of the order is filled aspossible at acceptable prices. In the next iteration, the entry at 17¼would be taken, and the amount remaining would be 1000−(500+200)=300.However, the entry at 17 would be ignored, since the price isunacceptable. At step 706, in addition to “taking” order fragments froman umpire, oE 10 could also post its order to the umpire's book, or inother cases the order could be “posted” through oE 10 joining the crowdfor the umpire.

Submitting a market order to an umpire for execution is considered to beposting the order to the umpire without a price.

FIG. 29A is a flowchart showing how oE 10 processes a “cancel order”message from order room 70. At step 469, oE 10 invokes cancel orderprocessing, shown in FIG. 29B. At step 471, oE 10 invokes update ordertail processing, shown in FIG. 30. At step 472, oE 10 reports threevalues to order room 70: the amount of the order that was canceled, theamount not cancelable, and the amount pending possible cancellation, andcancel order processing is complete. An amount may not be cancelablebecause it is too late to cancel, i.e., the amount was executed, orbecause the amount is in-process. Processing is now complete.

FIG. 29B is a flowchart showing cancel order processing. When order room70 sends a message to oE 10 to cancel an order without specifying whichmarket, oE 10 assumes that this means to cancel the order in all marketsin which the order is represented. In some embodiments, the order roomcan define desired handling for cancel orders lacking a marketspecification. When the cancel order message from order room 70specifies the markets at which the order should be cancelled, then oE 10cancels the order from only the indicated markets. In some embodiments,oE 10 uses its decision table to determine from which markets an ordershould be canceled, when the cancel order message is not explicit.

At step 473, oE 10 initializes to loop through all the umpires in theorder control table. At step 475, oE 10 sends a cancel for the specifiedquantity of the order to the appropriate umpires, if any. It is expectedthat the umpire will return the amount cancelled and the amountin-process, and thus not cancelled. If a fragment of the order isin-process, as described below, the cancel will be enqueued and when thefragment is released from in-process, enqueued actions will be applied.A fragment of an order is said to be “in-process” if the umpire at whichthe fragment of the order is represented is waiting for a response tosome action or the umpire itself is in-process, such as a periodic matchumpire performing match processing. The “in-process” state may occur,for example, when the umpire has changed its state to “in-process” inthe system status board 64. Another example of an “in-process” state iswhen an ELF tries to “take” an order fragment from an umpire, but beforethe umpire can confirm the extent to which the “take” was successful. Asappropriate, oE 10 updates order control table 130.

At step 480, oE 10 determines if the amount of the order to be canceledhas been fulfilled. If so, processing continues at step 493. If thecancel request was not fulfilled, at step 485, oE 10 checks the responsefrom the umpire to determine if any portions of the order are“in-process.” If not, processing continues at step 493. If there areportions of the order are “in-process,” at step 490, oE 10 records theamount of the order remaining to be canceled and adds an action to thepending action queue for cancellation following its release fromin-process, and then proceeds to step 493. At step 493, oE 10 checks ifthere are more umpires in order control table 130, and if so, processingreturns to step 475. Otherwise, if there are no more umpires, processingis complete.

FIG. 30 is a flowchart showing processing logic for update order tailand distribute, if necessary. At step 5710, oE 10 examines all umpiresin order control table 130 and the current order tail and selects theumpires at which oE 10 has any part of the order. At step 5720, oE 10updates the order tail to reflect the fact that this umpire is one ofthe umpires at which some part of the order is working. At step 5730, oE10 tests whether any more selected umpires remain. If so, oE 10continues to loop at step 5710. Otherwise, at step 5740, oE 10 createsan order tail consisting of only those umpires identified in step 5720and distributes the new tail to all the umpires listed in that tail.

FIG. 31 is a flowchart showing inquiry message processing. At step 5810,oE 10 checks whether the order is in its order control table 130. Ifnot, then at step 5820, oE 10 sends a reject message to order room 70.If the order is in its order control table 130, then at step 5830, oE 10checks the level of the inquiry. If the inquiry level is local, alsoreferred to as level 1, then at step 5840, oE 10 reports the orderstatus to order room 70 based on its local information, such as what isin order control table 130. If the inquiry level requires an umpireresponse, also referred to as level 2, then at step 5850, oE 10 sends aninquiry to each order umpire having a live portion of the order. At step5860, for each umpire, oE 10 determines whether a response has beenreceived within a predetermined interval. If so, then at step 5880, theumpire's response is forwarded to order room 70. If not, then at step5870, exception processing occurs. At step 5890, oE 10 checks whetherall umpires have been polled. If not, processing returns to step 5850.If so, then processing of the inquiry message is complete.

FIG. 32 is a flowchart showing how oE 10 responds to traffic from oU 30.

At step 725, oE 10 classifies the traffic and transfers to theappropriate logic section.

At step 735, oE 10 receives prices from an umpire, invokes the logicshown in FIG. 33, and then returns to step 405 in FIG. 21.

At step 740, oE 10 receives an action response from an umpire, invokesthe logic shown in FIG. 37, Receive Action Response from Umpire, andthen returns to step 405 in FIG. 21.

At step 742, oE 10 receives a pairing report from an umpire, invokes thelogic shown in FIG. 40, and then returns to step 405 in FIG. 21.

At step 745, oE 10 receives unsolicited traffic from an order umpire,such as market data, invokes the logic shown in FIG. 41, and thenreturns to step 405 in FIG. 21.

FIG. 33 is a flowchart showing processing logic for price traffic. Atstep 800, oE 10 classifies the price traffic and proceeds accordingly.

At step 802, oE 10 updates its price response table with the discoveryresponse and processing is complete.

At step 803, oE 10 invokes affirmation request processing, shown in FIG.34, and processing continues at step 811.

At step 805, oE 10 invokes price improvement opportunity processing,shown in FIG. 35, and processing continues at step 811.

At step 810, oE 10 invokes alternate price provided processing, shown inFIG. 36, and processing continues at step 811.

At step 811, oE 10 invokes the logic to update order tail anddistribute, if necessary, shown in FIG. 30, and processing is complete.

FIG. 34 is a flowchart showing processing for an affirmation request.This processing occurs at oE 10 when one of its orders posted at anumpire is “hit,” which occurs when a contra-side ELF is trying to “take”the quantity posted. The relevant umpire transmits two shares wantednumbers: the number of shares required definitely, and the number ofshares the umpire would like on a standby (conditional) basis. At step828, oE 10 checks order control table 130 and puts into a resultsregister the number of shares available and “free,” i.e., not beingrepresented at a periodic umpire or at an umpire in fast symbol mode forthis stock. If the number of “free” shares is sufficient to meet the sumof the two shares wanted numbers, then processing continues at 833.

If the free shares are not enough to meet the shares wanted (sum of twonumbers), oE 10 tries to free up more shares. At step 829, oE 10 checkswhether part of the order is in fast symbol mode or at a periodic umpirethat is not in-process, i.e., that the order is in a situation with apossibility of canceling the order. At step 830, oE 10 checks whetherany shares of the order are indicated in order control table 130 asbeing on a standby basis. If the entirety of the order is on standby, oE10 does not attempt to free any shares and processing proceeds to step833.

If it is determined at step 830 that at least part of the order is noton standby, at step 831, oE 10 sends a cancel to the umpires involved;the cancel is for the portion of the order not on standby. The sharessuccessfully canceled, up to the shares wanted, are added to the ResultRegister. At step 832, order control table 130 is adjusted to reflectthe quantity cancelled.

At step 833, oE 10 marks the shares available as in-process in ordercontrol table 130 and affirms to the umpire the quantity available, ifany. Processing is complete.

FIG. 35 is a flowchart showing how oE 10 performs crowd bid priceimprovement opportunity processing. At step 815, oE 10 computes whetherto bid and, if so, the price to bid, taking into account factors such asinstrument, size, and reserve price, among others. Next, at step 817, oE10 checks whether it will bid. If not, then processing is complete.Otherwise, at step 820, oE 10 bids at the price determined by thedecision table at step 815. At step 825, oE 10 updates the order controlstructure to reflect the amount bid and now in-process, and processingis complete.

FIG. 36 is a flowchart showing alternate price provided processing. Thislogic is invoked when, for example, a counter-offer has been receivedfor oE 10's order. At step 855, oE 10 creates a price response table. Atstep 860, oE 10 obtains the opinions of evaluation umpires, if any. Atstep 865, oE 10 determines how much to take, if any, and at what price,using decision engine 100 shown in FIG. 25. At step 870, oE 10 builds anaction list. At step 875, oE 10 acts according to the just-built actionlist. Processing is complete.

FIG. 37 is a flowchart showing the logic for receive action responsefrom umpire processing. An example of an action response is an orderstatus report following a take. At step 882, oE 10 checks whether theaction was successful. If so, then at step 886, oE 10 appropriatelyadjusts its order control table, and at step 888, invokes continue orderprocessing, shown in FIG. 38. If the action response was not successful,at step 884, oE 10 encodes the failure for later processing, andproceeds to step 888.

FIG. 38 is a flowchart showing continue order processing logic. At step555, oE 10 adds any unfulfilled portions of the action engendering thisresponse to the table of unfulfilled actions for this order. At step557, oE 10 invokes the logic at update order tail and distribute, ifnecessary, shown in FIG. 30. At step 560, oE 10 reports what has justoccurred to order room 70, and, in step 565, tests whether all theactions in the action list have just been completed. If so, processingis complete.

If all the actions in the action list have not been completed, at step570, oE 10 tests whether there were any actions that are unfulfilled. Ifnot, oE 10 determines that processing is complete. If there wereunfulfilled actions, at step 575, oE 10 tests whether this was an orderthat required discovery. If not, oE 10 proceeds to step 587. Otherwise,at step 580, oE 10 tests whether sufficient time has elapsed sincediscovery was done for this order to make it necessary to rediscover. Iffull discovery is required, at step 581, oE 10 invokes full discoverylogic, shown in FIG. 26, and proceeds to step 583. If new discovery isnot required, at step 585, oE 10 modifies price response table 120according to the table of unfulfilled actions, and proceeds to step 583.

At step 583, oE 10 invokes build action list processing, shown in FIG.27, and then proceeds to step 587.

At step 587, oE 10 invokes act on actions in action list processing,shown in FIG. 28, and then processing is complete.

The test at step 565 may be controlled, in part, by settings establishedby the decision process during preliminary order processing. Thosesettings could specify whether oE 10 will actually wait for all actionsto be complete prior to servicing unfulfilled actions.

FIG. 39 is a flowchart showing pairing report processing. At step 889,for the unexecuted quantity just released, oE 10 performs release forpending actions processing shown in FIG. 40. Next, at step 890, ordercontrol table 130 is updated to reflect the activity reported in thepairing report. At step 891, for portions of the order no longeravailable, oE 10 invokes cancel order processing, shown in FIG. 29B. Atstep 892, oE 10 updates the order tail as shown in FIG. 30. At step 894,oE 10 gets data from a service umpire, if required. At step 896, oE 10uses decision engine 100 to process the pairing report and data from theservice umpire using its decision table. Generally, oE 10 is performingpost-trade processing relating to delivery and payment for the tradeidentified in the pairing report. An example is allocating shares in thepairing report, and the allocation may be done by providing the totalnumber of shares to a service umpire, and receiving as a result how theshares are to be allocated. At step 898, oE 10 reports the result toorder room 70, and processing is complete.

FIG. 40 is a flowchart showing how oE 10 processes a release for pendingaction. At step 790, oE 10 applies the next pending actions up to theamount released. For example, if the pending action is a take or post,the logic shown in FIG. 28 is invoked; while if the pending action is acancel, the logic shown in FIG. 29B is invoked. At step 795, oE 10reports, to the order room, for example, the amount of the order thatwas canceled, the amount not cancelable, and the amount pending possiblecancellation, and processing returns to wait for another message.

FIG. 41 is a flowchart showing unsolicited umpire traffic processing.Unsolicited traffic includes price broadcast streams from umpires,explicit addressed messages via umpire, announcements such as newsecurity definitions or services announcements sent from appropriateumpires to subscribers, and status messages such as “umpire up, down,hours.” Unsolicited traffic is sent to order room 70 but shown asmessage types. At step 901, oE 10 filters any traffic to which oE 10 isnot entitled. For example, oE 10 is only entitled to the price broadcaststream for any umpires with which oE 10 is registered. At registrationtime, the umpire provides oE 10 with a certificate that controls thedata from this umpire to which oE 10 is entitled. The certificate thusobtained may, in fact, further restrict oE 10 to a subset of the datatransmission by the umpire. oE 10 classifies the unsolicited traffic aseither market data, order cancellations or other traffic. If the trafficis market data, oE 10 proceeds to step 905. If the traffic is an ordercancellation, for example, a cancellation by an umpire about to enterfast symbol mode, oE 10 proceeds to step 903 and updates its ordercontrol table, then proceeds to step 915. If the traffic was otherunsolicited traffic, at step 915, oE 10 forwards the unsolicited trafficto the order room. At step 905, oE 10 tests whether the market data isfor a watched instrument. If the traffic is watched instrument traffic,at step 915, oE 10 forwards the unsolicited traffic to order room 70. Anexample of watched instrument traffic is all changes the oU transmitsrelated to a particular instrument or set of instruments. The watchedinstrument traffic, in this embodiment, keeps the order room's snapshotof the market in an instrument up-to-date. The snapshot may be used bythe order room to determine when market conditions are right fortriggering actions such as linked order executions. Another example ofunsolicited traffic that is forwarded to order room 70 is a message froman order umpire that a new synthetic instrument has been created. If themarket data is not for a watched instrument, or after appropriatetraffic has been forwarded to order room 70, processing is complete.

FIG. 42 is a flowchart showing processing logic for traffic from anevaluation umpire. At step 920, oE 10 stores the message from theevaluation umpire. It will be appreciated that the information in themessage may act as a trigger for other processing, according to decisiontable 110.

FIG. 43 is a flowchart showing processing logic for traffic fromplatform services 60. At step 925, oE 10 classifies the message receivedfrom platform services 60.

If the message is that a stop expired, at step 927, oE 10 checks whetherthe stop was already exercised. If so, processing is complete. If thestop was not exercised, then at step 930, oE 10 removes the order fromits order control table, and at step 932, reports the stop expiration toorder room 70.

If the message is that the status of an umpire changed or is about tochange, such as from regular mode to fast symbol mode, or from regularto in-process, at step 935, oE 10 invokes decision engine 100 todetermine what to do with its orders at the affected umpire. At step940, oE 10 updates its order control table accordingly, and at step 945,oE 10 invokes continue order processing, shown in FIG. 38. In someembodiments, ELF status change messages are handled similarly.

For all other messages, oE 10 forwards the message to order room 70.

Order Umpire Setup

FIG. 44 is a flowchart of the set-up phase for an order umpire program,such as oU 30.

At step 1000, the user selects a template from among the standardtemplates and the previously validated custom templates. If none of thetemplates available for selection are suitable, the user may create anew template and submit it for validation for use on the platform.

At step 1005, the template selected for oU 30 is instantiated, that is,system 5 creates an operational instance of the selected template.

At step 1010, data structures are allocated and initialized, such as thehours of operation and usage fees of oU 30. For example, the dimensionof the instruments that will be handled by the oU is established.Securities have one dimension (price), futures have two dimensions (dateand price), while options have four dimensions (security, put/call,strike price, expiration date). This flexibility facilitates dynamiccreation of synthetic instruments for trading. Decision table(s) to beused by oU 30 are also specified. In some embodiments, oEs and oUs usedecision tables according to the same procedures, but the actionsspecified in the decision table rules are different for oEs and oUs.

At step 1015, the price discovery and crowd interaction parameters,discussed above with regard to FIG. 5, are specified for oU 30.Generally, the parameters include price, any mirror

ELFs, whether representation is permitted, and reporting procedures.Also, the sources of pricing information for oU 30 are specified. Thedefault mode for pricing information is one cancels other (OCO), meaningthat a current price over-writes a previously provided price for thesame instrument. At least one of the following is indicated as a sourceof current price information:

-   -   Entry from an external point;    -   Stored price information from orders in the order book file kept        by oU 30;    -   Auction among the crowd of oEs registered at oU 30;    -   Subscribe to feeds from selected dEs that provide, e.g., prices        from an external market.        Also at step 1015, the procedure for computing a current price        is specified. Usually, a market for a financial instrument is        two-sided, representing buyers and sellers, and so current price        is understood to mean a best price on each side of the market,        or the contra-side relative to the oE's order. Additionally, the        procedure for disseminating the current price is specified. In a        typical book umpire, the current price is provided on demand, or        to a newly registering oE in the crowd. In a superbook umpire,        when the current execution price is about to change relative to        the previous execution price, the proposed new price is provided        to oEs registered as being in the crowd for oU 30. Further, the        decision table that the umpire will use is specified, and the        parametric settings that will be given to a registering oE are        specified. To execute the decision table, the umpire uses the        decision engine 100 logic that is used by an ELF. In a        modification, the decision engine for an umpire is different        than the decision engine for an ELF.

At step 1020, the trigger response logic and action parameters for oU 30are established. For example, for a periodic match umpire, a trigger maybe that a predetermined amount of time has passed, and the associatedresponse is to match orders that have arrived in the predeterminedamount of time. Other examples of triggers and responses are:

-   -   The arrival of a theoretical price from a dE, and the associated        response is to advise the crowd that the theoretical price will        be used as the next price unless the crowd provides an improved        price (not shown in this embodiment).    -   The arrival of an order that signals an auction process to hold        an auction.

After oU 30 is setup, oU 30 makes information about its order handlingmethodology and parameter values available to all oEs on system 5, suchas by publishing this information in a file accessible to all oEs.

After oU 30 is setup, oU 30 accepts registrations from order ELFs usingoU 30's decision table to allow different treatment for different ELFs.During the registration process, oU 30 authorizes an oE to receiveunsolicited traffic from, e.g., broadcast services 66, and authorizesthe oE to access selected information about oU 30 in system status board74 and market status board 75. Other appropriate activity also occursduring registration.

An order ELF registering with an umpire is a different procedure than anorder ELF registering in the crowd for an umpire. An ELF must registerwith an umpire to interact with the umpire in any way, includingregistering in the crowd for the umpire.

FIG. 45 is a diagram of a registered crowd list data structure used byan order umpire. For each instrument that oU 30 supports for trading,the registered crowd list indicates, on the buy side and on the sellside, the oEs that are registered in the crowd for oU 30. For each oE inits registered crowd, oU 30 maintains the name of the oE, the disclosuresignature of the oE, e.g. anonymous or not, and the magnitude of thequantity, e.g. ordinary or serious, if disclosed.

The registered crowd list structure shown in FIG. 45 is used for, amongother things, putting ELFs in touch with one another when one announcesits presence by not being anonymous when it registered in the crowd.

Order Umpire Operation

FIGS. 46-92 are a flowchart of the operational phase for an orderumpire, such as oU 30.

As shown in FIG. 46, after oU 30 is set up, oU 30 waits for an event,responds appropriately, shown in detail for each event in a separateflowchart, performs housekeeping, and then waits for another event.

At step 1025, oU 30 receives an event and classifies the event.

At step 1030, oU 30 receives data from a dE, processes the data as shownin FIG. 47, and then returns to step 1025.

At step 1035, oU 30 receives traffic from a mirror ELF, processes themirror ELF traffic as shown in FIG. 48, and then returns to step 1025.

At step 1040, oU 30 receives traffic from an oE, processes the oEtraffic as shown in FIG. 59, and then returns to step 1025.

At step 1045, oU 30 receives traffic from platform services 60,processes the platform 14 services traffic as shown in FIG. 84, and thenreturns to step 1025.

At step 1050, oU 30 receives a processing trigger, processes the triggeras shown in FIG. 89, and then returns to step 1025.

At step 1055, oU 30 performs operations control, as shown in FIG. 96,and then returns to step 1025.

FIG. 47 is a flowchart showing how oU 30 responds to receiving data froma dE. At step 1060, oU 30 stores the received data, and then returns toFIG. 30. It will be understood that the umpire may store the data sothat it replaces the previous value, or so that it becomes the latestvalue in a succession of values received over time. For example, thenewest data received becomes the latest value for that data elementwhile the prior latest value becomes the next to latest value and thenext to latest value becomes the value before that, etc. The method ofstoring data is a function of the parametric settings for the particularumpire and for each particular data element.

FIG. 48 is a flowchart showing how mirror ELF traffic is processed by oU30. In this embodiment, mirror ELF 50 is a conduit for thesynchronization of the order books at oU 30 and external site 80. Asdiscussed in association with explaining the operation of FIG. 5, theposting, canceling, and pairing of orders may not be unilaterallycommitted by the oU or by the exchange prior to checking with the otherparty through the mirror ELF.

At step 1061, oU 30 classifies the traffic from mirror ELF 50, andbranches to the appropriate processing to complete processing of themirror ELF traffic.

At step 1065, oU 30 receives a cancel message from mirror ELF 50, andprocesses the cancel from mirror ELF as shown in FIG. 49.

At step 1070, oU 30 receives a post message from mirror ELF 50, andprocesses the post from mirror ELF as shown in FIG. 50.

At step 1071, oU 30 receives a cancel response message from mirror ELF50, and processes the cancel response as shown in FIG. 51.

At step 1072, oU 30 receives a post response message from mirror ELF 50,and processes the post response as shown in FIG. 52.

At step 1073, oU 30 receives a cancel ACK message from mirror ELF 50,and processes the cancel ACK as shown in FIG. 53.

At step 1074, oU 30 receives a post ACK message from mirror ELF 50, andprocesses the post ACK as shown in FIG. 54.

At step 1075, oU 30 receives an “enter fast mode” message from mirrorELF 50, and processes the enter fast mode message from mirror ELF 50 asshown in FIG. 55A.

At step 1080, oU 30 receives an “end fast mode” message from mirror ELF50, and processes the end fast mode message from mirror ELF 50 as shownin FIG. 55B.

At step 1085, oU 30 receives a “synch books” message from mirror ELF 50,and processes the synch books message from mirror ELF 50 as shown inFIG. 56.

At step 1090, oU 30 receives an “update book” message from mirror ELF50, and processes the update book message from mirror ELF 50 as shown inFIG. 57.

At step 1095, oU 30 receives a request for affirmation from mirror ELF50, and processes the affirmation request as shown in FIG. 58.

FIGS. 49-58 are flowcharts that show how oU 30 responds to traffic frommirror ELF 50. A purpose of mirror ELF 50 is to synchronize two books,in whole or in part. The protocol ensures that an order, or cancel ordermessage, that is submitted for posting is either posted in both books orin neither of the books. In this embodiment, the protocol is symmetricalbecause mirror link adapter 85 is configured to ensure symmetry. Inother embodiments, the protocol need not be symmetrical. Mirror ELF 50also allows for one or the other books to enter or end fast symbol modein which all book entries for one or more symbols are maintained,unsynchronized, in only one book.

FIG. 49 is a flowchart showing cancel from mirror ELF processing. Apractical application of cancel from mirror ELF processing is asfollows. Let it be assumed that a party at an external point cancels itsorder at external exchange 80, which is linked via mE 50 to oU 30. Inresponse to the party's cancellation, external 80 sends a cancel ordermessage to mE 50 which forwards the cancel to oU 30. The cancel messagefrom mE 50 is processed by oU 30 as described below.

At step 1100, oU 30 tries to find the order corresponding to the cancelfrom mirror ELF 50. If oU 30 cannot find the order, at step 1101, oU 30sends a reject back to mE 50 with an appropriate reason code. Rejectprocessing is not described herein for brevity.

If oU 30 finds the order indicated in the cancel message from mE 50,then at step 1102, oU 30 sets a parameter “A” to be the number of sharesof the order that are available for immediate cancellation, and setsanother parameter “B” to be the number of shares of the order that arein-process. For example, if the order is stored in oU 30's book and isnot interacting with any contra-side orders, then all shares of theorder are available.

At step 1103, oU 30 conditionally cancels the lesser of “A,” theavailable shares, and the number of shares specified in the cancelmessage from mE 50. Conditional cancellation may be thought of asmarking, in oU 30's order book, the conditionally cancelled shares asbeing on hold but intended for cancellation.

At step 1104, oU 30 tests whether the symbol of the order is in fastmode at oU 30. If so, oU 30 is not following a two phase orderprocessing protocol, and at step 1105, oU 30 cancels the lesser of “A,”the available shares, and the number of shares specified in the cancelmessage from mE 50. Processing continues at step 1108. If oU 30 is notin fast mode for this symbol, then at step 1106, oU 30 sends a cancelresponse message to mE 50. It is expected that mE 50 will acknowledgereceipt of the cancel response message, and when the acknowledgementarrives, at step 1107, oU 30 performs receive cancel ACK from mirror ELFprocessing, shown in FIG. 53. Processing continues at step 1108.

At step 1108, oU 30 tests whether the cancel message from mE 50 was aregular cancel or a cancel for execution. In the scenario given above,since the party owning the order generated a cancel message, mE 50 senta regular cancel message. However, if external 80 had wanted to executethe order, then mE 50 would have sent a cancel for execution message. Ifthe message was a regular cancel, then at step 1109, oU 30 checkswhether the amount available was less than the amount specified in thecancel message, and if so, puts the lesser of the difference and theamount in-process in a pending queue for cancellation and then proceedsto step 1110. Accordingly, whenever the amount not available is releasedfrom being in-process, oU 30 will try to cancel the just releasedamount. This is the best that oU 30 can do to fulfill the cancel messagefrom mE 50. Otherwise, if the message was a cancel for execution, oU 30proceeds directly to step 1110.

At step 1110, oU 30 returns a result to mE 50 comprising two numbers:A′, the amount cancelled, and B′, the amount in-process.

FIG. 50 is a flowchart showing post from mirror ELF processing. As canbe discerned from comparing FIGS. 49 and 50, processing for a postmessage from mE 50 is generally a simplified version of processing for acancel message from mE 50. A practical application is when a partyowning an order posts the order at external 80, and external 80 sends apost message via mE 50 to oU 30.

At step 1115, oU 30 conditionally posts, that is, posts the orderreceived from mirror ELF 50 to its book with a hold, usingmethod-specific processing, if necessary. An example of method-specificprocessing for the BidPlus method is shown in FIG. 75. At step 1116, oU30 checks whether the post was successful. If not, at step 1117, oU 30sends a reject back to mE 50 with an appropriate reason code. Rejectprocessing is not described herein for brevity.

If the post was successful, at step 1118, oU 30 checks if it is in fastmode for this symbol. If so, at step 1119, oU 30 performs a commit post,that is, enters the order in its book. Processing continues at step1122. If the symbol involved in the order is not in fast mode at oU 30,at step 1120, oU 30 sends a post response message to mE 50. It isexpected that mE 50 will acknowledge receipt of the post responsemessage, and when the acknowledgement arrives, at step 1121, oU 30performs receive post ACK from mirror ELF processing, shown in FIG. 54.Processing continues at step 1122.

At step 1122, oU 30 sends the result, namely, the number of shares itposted, to mirror ELF 50 and processing is complete.

FIG. 51 is a flowchart showing processing for a cancel response messagefrom a mirror ELF. This logic is invoked when oU 30 is trying to cancelan order on behalf of an order ELF, as shown, for example, in FIG. 81.At step 1125, oU 30 receives a cancel response message from mE 50indicating A′, the number of shares cancelled by the other side of mE50, and B′, the number of shares in-process at the other side of mE 50.At step 1126, oU 30 checks whether the other side is in fast symbolmode. If so, then oU 30 was simply routing the cancel message via mE 50and did not take any local action, so processing proceeds to step 1129.If the other side was not in fast symbol mode, then the other side aswell as oU 30 are following a two phase order handling protocol.Accordingly, at step 1127, oU 30 commits to canceling A′ shares, whichwere previously conditionally cancelled, and at step 1128, oU 30 backsout the conditionally cancelled shares that were not permanentlycancelled at step 1127. Processing continues at step 1129.

At step 1129, oU 30 sets the parameter A to be the number of sharespermanently cancelled at step 1127, and the parameter B to be the numberof shares in-process at the other side of mE 50, and processing iscomplete.

FIG. 52 is a flowchart showing processing for a post response messagefrom a mirror ELF. This logic is invoked when oU 30 is trying to post anorder on behalf of an order ELF, as shown, for example, in FIG. 74. Atstep 1130, oU 30 receives a post response message from mE 50 indicatingA′, the number of shares posted by the other side of mE 50. At step1131, oU 30 checks whether the other side is in fast symbol mode. If so,then oU 30 was simply routing the post message via mE 50 and did nottake any local action, so processing proceeds to step 1134. If the otherside was not in fast symbol mode, then the other side as well as oU 30are following a two phase order handling protocol. Accordingly, at step1132, oU 30 commits to posting A′ shares, which were previouslyconditionally posted, and at step 1133, oU 30 backs out theconditionally posted shares that were not permanently posted at step1132. Processing continues at step 1134.

At step 1134, oU 30 sets the parameter A to be the number of sharespermanently posted at step 1127, and processing is complete.

FIG. 53 is a flowchart showing processing for a cancel ACK message froma mirror ELF. This logic is invoked when oU 30 is trying to cancel anorder in response to a cancel message from mE 50, as shown, for example,in FIG. 49. At step 1135, oU 30 receives a cancel ACK message from mE 50indicating A′, the number of shares cancelled by the other side of mE50, and B′, the number of shares on hold at the other side of mE 50. Atstep 1136, oU 30 commits to canceling A′ shares, which were previouslyconditionally cancelled, and at step 1137, oU 30 backs out theconditionally cancelled shares that were not permanently cancelled atstep 1135. At step 1138, oU 30 sets the parameter A to be the number ofshares permanently cancelled at step 1136, and the parameter B to bezero if no shares were permanently cancelled, and processing iscomplete.

FIG. 54 is a flowchart showing processing for a post ACK message from amirror ELF. This logic is invoked when oU 30 is trying to post an orderin response to a post message from mE 50, as shown, for example, in FIG.50. At step 1140, oU 30 receives a post ACK message from mE 50indicating A′, the number of shares posted by the other side of mE 50.At step 1141, oU 30 commits to posting A′ shares, which were previouslyconditionally posted, and at step 1142, oU 30 backs out theconditionally posted shares that were not permanently posted at step1141. At step 1143, oU 30 sets the parameter A to be the number ofshares permanently posted at step 1141, and processing is complete.

In FIG. 55A, oU 30 receives an enter fast mode message from mE 50, andat step 1151, oU 30 records fast mode for this symbol on the other side.

In FIG. 55B, oU 30 receives an end fast mode message from mE 50, and atstep 1154, oU 30 resets fast mode for this symbol on the other side.

In FIG. 56, oU 30 receives a synch books message from mE 50 and at step1152, oU 30 replaces its book for this symbol with the one received.

In FIG. 57, oU 30 receives an update book message from mE 50, and atstep 1153, oU 30 updates its book for this symbol with the updatereceived.

FIG. 58 is a flowchart showing processing at an order umpire forreceiving, from a mirror ELF, a request for affirmation that a postedorder is available. At step 1160, oU 30 checks whether it supports thefeature of affirming availability of an order. If not, then at step1170, oU 30 returns a “simulated” affirmation for the entire quantity,which effectively defers affirmation to the time when an executionoccurs. If oU 30 supports affirmation, then at step 1162, oU 30 forwardsthe request for affirmation to the order ELF that posted the order. Atstep 1164C, oU 30 checks whether a response was received successfullyand within a predetermined response time. If so, then oU 30 replies tomE 50 with the quantity affirmed by the order ELF. If a response was notsuccessfully received, then at step 1168, oU 30 returns an affirmationfor 0 shares, and a failure code. Processing is complete.

FIG. 59 is a flowchart showing how oU 30 responds to traffic receivedfrom an oE.

At step 1200, oU 30 classifies the traffic and responds appropriately,shown in detail for each event in a separate flowchart.

At step 1201, oU 30 receives an order inquiry message from an oE,invokes the logic shown in FIG. 60, and proceeds to step 1214.

At step 1202, oU 30 receives a discover request from an oE, invokes thelogic shown in FIG. 61, and proceeds to step 1214.

At step 5350, oU 30 receives a stop exercise order from an oE, invokesthe logic shown in FIG. 64A, and proceeds to step 1214.

At step 1203, oU 30 receives a price acceptance from an oE, invokes thelogic shown in FIG. 64C, and proceeds to step 1214. An example of aprice acceptance is taking a price provided during discovery. At step1204, oU 30 receives a validate order request from an oE, invokes thelogic shown in FIG. 72, and proceeds to step 1214.

At step 1205, oU 30 receives a market order from an oE, invokes thelogic shown in FIG. 73, and then proceeds to step 1214.

At step 1206, oU 30 receives a post to umpire request from an oE,invokes the logic shown in FIG. 74, and then proceeds to step 1214.

At step 1207, oU 30 receives a price proposal from an oE, invokes thelogic shown in FIG. 77, and then proceeds to step 1214.

At step 1208, oU 30 receives a route order from an oE, invokes the logicshown in FIG. 78, and then proceeds to step 1214.

At step 1209, oU 30 receives a crowd registration request from an oE,invokes the logic shown in FIG. 79, and proceeds to step 1214.

At step 1210, oU 30 receives a crowd deregistration request from an oE,invokes the logic shown in FIG. 80, and proceeds to step 1214.

At step 1211, oU 30 receives a cancel order instruction from an oE,invokes the logic shown in FIG. 81, and then proceeds to step 1214.

At step 1212, oU 30 receives an auction request from an oE, invokes thelogic shown in FIG. 82, and then proceeds to step 1214.

At step 1213, oU 30 receives a stop request from an oE, invokes thelogic shown in FIG. 83, and then proceeds to step 1214.

At step 1214, oU 30 reports the status of its response to the trafficfrom the order ELF, thereby completing processing of the order ELFtraffic. For example, if the message from the order ELF was a stoprequest, then at step 1214, a full report of the stop request responseis provided to the requesting order ELF.

FIG. 60 is a flowchart showing how oU 30 responds to receiving an orderinquiry message from an order ELF. It will be appreciated that orderinquiry level 1 messages are handled locally by an order ELF, and allother order inquiry levels require responses from appropriate umpires.At step 1214, oU 30 finds the order being inquired about in its book andsends the status of this order to the inquiring order ELF.

FIG. 61 is a flowchart showing how oU 30 responds to receiving adiscover request from an inquiring oE. oU 30 follows its publishedmarket methodology in responding to discover requests, includingconsidering contra-party preference information, disclosure levelcompatibility between booked orders and the inquiring party, and so on.At step 1215, oU 30 invokes method-specific processing for responding toa discover request to provide a price to the requesting oE, andcontinues as described above. FIGS. 62 and 63 show examples ofprocessing for responding to a discover request for respective methods.

FIG. 62 is a flowchart showing method-specific processing for respondingto a discover request when oU 30 provides prices using the book method,the superbook method or an auction method. At step 5305, oU 30 uses itsown its umpire decision table and decision engine 100, as generallyshown in FIG. 25, to set the parameters for this ELF.

At step 5310, oU 30 invokes the logic shown in FIG. 67 to get the bestorders from the book, without in-process marking. In this embodiment, itis assumed that most discovery requests will not result in an execution.When an execution is desired, an order must be marked as in-process sothat it is unavailable to other parties. The extent of the discoveryresponse from oU 30 depends on the parameters for the inquiring orderELF determined in step 5305. In this embodiment, the standby factor isused when responding to discovery requests. In other embodiments, thestandby factor need not be used.

At step 5320, oU 30 checks whether it supports auction mode. If not,processing proceeds to step 5340. If oU 30 supports auction mode, andauction mode has been requested by the inquiring order ELF, then at step5325, oU 30 notifies its crowd of the price(s) it proposes to provide tothe inquiring order ELF and obtains responses, if any, from its crowd.The crowd responses must improve the price provided by oU 30. The crowdresponses are ordered by price. At step 5335, oU 30 executes the crowdresponses with the order ELF's discovery request, treated as an order,up to the size of the discovery request. If there is more crowd quantitythan is needed for the inquiring ELF, oU 30 follows its specifiedprocedure for allocating quantity, such as proportionally allocating thequantity or following a first-come-first-served strategy.

A discovery auction may occur at computer processing speeds, when allcrowd ELFs are able to make decisions without guidance from their orderrooms. However, when order room guidance is involved, the discoveryauction occurs at much slower human response times.

At step 5340, oU 30 eliminates trial order information from itsdiscovery response, and provides the book discovery, in an appropriatedepth, to the inquiring order ELF. As appropriate for its disclosurepolicy and the disclosure levels associated with the orders, oU 30notifies the owners of the booked orders that information has beenprovided about their orders in response to an inquiry.

FIG. 63 is a flowchart showing method-specific processing for respondingto a discover request when oU 30 provides prices using a negotiationmethod. At step 1225, oU 30 configures itself according to the umpiredecision table, if required, calling its decision engine 100. At step1227, oU 30 checks whether it can find at least one entry in its bookwhose call list is compatible with the call list for the order beingrepresented by the oE doing discovery. A call list reflects thedisclosure preferences of the order ELF that submitted the order.Compatibility of call lists means that the call list associated with oneorder allows disclosure in some form to the oE on the other side andvice versa. oU 30 actually checks all the entries in its book forcompatibility, discussed below. The ability of oU 30 to return allcompatible entries is an extremely powerful discovery mechanism.

If at least one entry is found, at step 1230, oU 30 checks forcompatibility of the order fields. Compatibility of order fields meansthat the instruments are the same, the sides of the order are opposing(buy vs. sell), the sizes are compatible, and the prices are compatible.Compatible sizes means that the size specified for one order is at leastas great as the minimum lot size for the other order and vice versa.Compatible prices means that the prices are the same or the price of theorder to buy is greater than the price of the order to sell. If any ofthe order fields are omitted for either order, it is automaticallyconsidered compatible with the same field in the other order. If theorder fields were compatible, at step 1240, both sides are informed of apairing and each is informed of the details of the other's order up tothe limits established by the disclosure signature of that other order.That is, at step 1240, oU 30 has determined that it could be fruitfulfor the parties to negotiate. If the order fields were not compatible,at step 1235, both sides are informed of the details of the other'sorder up to the limits established by the disclosure signature of thatother order. Processing returns to step 1227. When there are no moreentries in the book having call lists compatible with the oE's order, atstep 1237, oU 30 posts the order for which discovery is being done intoits book and, at step 1238, reports to the order ELF that its order wasbooked. In other embodiments, discovery does not necessarily alwaysresult in posting.

FIG. 64A is a flowchart showing how oU 30 responds to receiving a stopexercise order from an oE. It will be appreciated that oU 30 must havegranted a stop request order before an associated stop exercise ordercan be processed. At step 5355, oU 30 invokes stop exercise processinglogic, depicted in FIG. 64B.

FIG. 64B is a flowchart showing stop exercise processing logic. At step5360, oU 30 gets the quantity of shares sequestered when the stop wasgranted. At step 5370, oU 30 pairs the just gotten quantity with theactive side stop exercise order. At step 5380, oU 30 updates its book toindicate that the quantity is no longer sequestered, how much was justpaired and how much was released. At step 5390, oU 30 sends pairingreports to the active and passive side oEs. If appropriate, externalreporting occurs at this time. Stop exercise processing is now complete.

FIG. 64C is a flowchart showing how oU 30 responds to receiving a priceacceptance from an oE. At step 1245, oU 30 invokes attempt executionlogic, depicted in FIG. 65, and proceeds as described above.

FIG. 65 is a flowchart showing attempt execution logic. Let “x1” be thequantity to take, “x2” be the worst-case price, “x3” be the minimum lotsize and “Q1” be the total quantity of appropriate shares found in thebook. The parameter Q1 is updated as processing occurs. At step 1255, oU30 invokes external report certification processing, shown in FIG. 66,and checks whether the processing was successful. If the external reportcertification processing was unsuccessful, then at step 1256, oU 30 setsan illegal trade code, and attempt execution processing is complete.

If the external report certification processing was successful, at step1258, oU 30 invokes get best order logic shown in FIG. 67 within-process marking. Next, at step 1260, oU 30 invokes affirm quantityprocessing, shown in FIG. 68, for the orders at the best price. At step1262, oU 30 checks whether there is sufficient quantity for execution atthe best price, that is, inter alia, whether the minimum lot size of theactive side order is satisfied. If so, then at step 1264C, oU 30 invokesexecute quantity processing, shown in FIG. 70, for the quantity at thebest price. A check is made for whether a mirror ELF is involved in apassive side order, and if so, the execution is via mirror ELF, asgenerally shown in steps 1278-1280, discussed below. At step 1266, oU 30checks whether the active side order has been filled. If so, thenprocessing is complete.

If, at step 1262, it was determined that the affirmed quantity at thebest price was not executable, then at step 1268, oU 30 releases theaffirmed quantity. oU 30 will now attempt to execute the quantity atanother price. Since its price is changing, and oU 30 is following thesuperbook method, oU 30 will advise its crowd of a price improvementopportunity. The crowd auction will take time, particularly if theauction is conducted at human response times, and the quantity at thebest price is available to other order ELFs while an auction isoccurring for the present active side order ELF.

After releasing the affirmed quantity at step 1268, or after determiningat step 1266 that the active side order was not filled by the affirmedquantity at the best price, at step 1270, oU 30 notifies its crowd of aprice improvement opportunity for the unexecuted part of the active sideorder. oU 30 retains the crowd responses, if any. At step 1272, oU 30again gets the best orders from its book, according to the logic shownin FIG. 67, with in-process marking. At step 1274, oU 30 integrates thecrowd responses with the book's best orders and prioritizes by price andtime. At step 1276, oU 30 invokes the affirmation logic shown in FIG.68, adjusting the status of a book order from regular to standby asappropriate in view of the crowd responses, if any.

At step 1278, for each passive side order, oU 30 checks whether a mirrorELF is involved. If so, then at step 1279, oU 30 invokes mirror ELFexecution logic shown in FIG. 69. At step 1280, oU 30 checks whether ithas tested all passive side orders for a mirror ELF; if not, processingreturns to step 1278. When all passive side orders have been checked forthe presence of a mirror ELF, processing proceeds to step 1281.

At step 1281, oU 30 invokes the execution logic shown in FIG. 70, forthe affirmed quantity; crowd responses are assumed to be implicitlyaffirmed. At step 1282, oU 30 releases any unused affirmed quantity, andprocessing is complete. If the affirmed quantity is inadequate, oU 30repeats the above-described processing until the active side order isfilled (this logic is not shown for brevity).

An example of attempt execution processing is provided after discussionof FIG. 71.

FIG. 66 is a flowchart showing external report certification processing.At step 1247, oU 30 checks whether external reporting is required. Ifso, then at step 1248, oU 30 sends a trial execution to the externalpoint. At step 1249, oU 30 checks whether the trial execution wassuccessful. If not, then at step 1251, oU 30 sets its result to notsuccessful and processing is complete. If the trial execution wassuccessful or if external reporting is not required, then at step 1250,oU 30 sets its result to successful and processing is complete.

FIG. 67 is a flowchart showing the processing logic for get best orders.At step 5605, oU 30 determines whether it is in fast symbol mode. Itwill be recalled that in fast symbol mode, passive-side oEs do not get achance to affirm. If so, at step 5610, oU 30 sets its standby factor tozero (it will not need to obtain any standby quantity because no oEs canchange the quantities to which they committed to oU 30). Otherwise, atstep 5615, oU 30 sets its standby factor to the default parametricvalue. The standby factor is a function of the instrument and is setduring order umpire set up to optimize the process. At step 5620, oU 30sets s1, the quantity to take to x1 times one plus the standby factor.This quantity attempts to account for the quantity removed by thepassive oEs when they are asked to affirm their orders. Now, at step5625, oU 30 marks as in-process a quantity s1 at the umpire where theprice is as good or better than x2, records orders in a temporarylocation, Reg-1, and updates Q1. In the process of obtaining orders fromits book, if ELF filtering is on, oU 30 skips orders from incompatibleELFs. The test here is tripartite: (i) is the order pricedappropriately, (ii) is the order not in-process at another umpire orin-process for another ELF, and (iii) is the order compatible withattribute filtering. Any order that passes these tests is a best orderup to the quantity s1.

At step 5627, oU 30 checks whether in-process marking is required.During discovery, in-process marking is not required, while duringexecution, in-process marking is required. If in-process marking isrequired, at step 5630, oU 30 marks as in-process, in the book, allorders now in Reg-1 and proceeds to step 5635 where oU 30 identifies thestandby orders as such. After in-process marking, or if in-processmarking was not required, at step 5640, oU 30 sets Q1 to the totalquantity of shares represented by the orders in Reg-1 and processing iscomplete.

It will be appreciated that the processing described in FIG. 67 hasomitted some implementation details for simplicity. Specifically, oU 30maintains a waiting queue for active side orders and an affirmationqueue for passive side orders, for each of its buy and sell sides. Whenan active order arrives, passive side regular orders and passive sidestandby orders corresponding to the standby factor are identified. Theactive order is placed at the end of the waiting queue. The passiveorders are placed at the end of the affirmation queue, and oU 30 asksthe owners of the passive side orders for an affirmation that thequantity is still available. Time passes, and the affirmationseventually arrive, not necessarily in the order they were requested.When affirmations for all of the passive side orders for an active orderarrive, then oU 30 tries to pair the active order with affirmed passiveorders. If there is insufficient passive side quantity, then oU 30 usesthe next passive side orders in the affirmation queue to satisfy theactive order. If there is too much passive side quantity, then thestandby is available for the next active order in the waiting queue. Theresult is that active orders are paired with passive orders according toa first come first served protocol. It will be appreciated that while apassive order is in the affirmation queue, a new incoming passive ordermay have a better price, but since it lacks time priority, the new orderdoes not displace the enqueued order. When all active orders in thewaiting queue have been paired, any quantity remaining in theaffirmation queue is returned to the book. In some embodiments, separatequeues are not maintained, and the priority of orders is otherwisereflected.

FIG. 68 is a flowchart showing affirm quantity processing. When askingan ELF to affirm a quantity previously given to an umpire, the ELFeither affirms it, or returns a qualification, e.g., the quantity thatis actually available (possibly none). At step 1284, oU 30 checkswhether there is a fast symbol mode. If so, there is no affirmationprocess, so processing is complete. If there is no fast symbol mode, atstep 1285, oU 30 identifies the origin of each order in Reg-1. If theorder came from an order ELF, then at step 1287, oU 30 sends thequantity and price to each passive ELF from which affirmation isrequested, along with how much of the order is a standby order and howmuch of the order is a regular order. If the order came from a mirrorELF, then at step 1289, oU 30 sends the quantity and price to eachmirror ELF from which affirmation is requested, along with how much ofthe order is a standby order and how much of the order is a regularorder.

At step 1290, oU 30 checks whether any answers were received that affirmavailability of the requested quantity. If not, then at step 1292, oU 30marks the quantity unavailable in Reg-1. If an affirming answer isreceived, at step 1294, oU 30 confirms the quantity as available inReg-1. At step 1296, oU 30 checks whether there are any more orders inReg-1. If so, processing returns to step 1285. When there are no moreorders in Reg-1, processing is complete.

FIG. 69 is a flowchart showing execute via mirror ELF processing. Atstep 1301, oU 30 sends an execution to mirror ELF 50. If an answer isreceived in time, at step 1306, oU 30 updates Q1 and puts the executedquantity in Reg-1 and processing is complete.

FIG. 70 is a flowchart that shows execute quantity processing. At step1385, oU 30 performs get next order in priority thread processing, shownin FIG. 71. At step 1390, oU 30 pairs the order returned from prioritythread processing with the active side order attempting to execute, suchthat the total paired quantity does not exceed the quantity of theactive side order. At step 1395, oU 30 updates Reg-1 to reflect theamount just paired. At step 1400 checks whether the full active sideorder quantity, x1, was filled. If not, processing returns to step 1385.

After the quantity is filled, at step 1405, oU 30 updates its book toreflect the activity that just occurred, including reducing the amountof each order in its book by the amount of that order paired at step1390, removing orders from its book that have been reduced to zeroquantity, and releasing holds on entries remaining in the book. An ordercan become a zero quantity order when its shares are paired, or, if itwas a trial order, when its shares are adjusted to zero after it wouldhave been paired, had it been a regular order.

At step 1407, oU 30 sends pairing reports. A pairing report indicates aquantity of shares paired, a price at which the pairing occurred, andenough detail about the contra-party in the pairing for subsequentpost-trade processing. A pairing report may also include a pairing time,an identification of the oU that prepared the pairing report and/or atransaction identifier.

Generally, if an order has a pairing report for only 0 shares, such as atrial order, or if the order was affirmed but not paired, includingregular and standby orders, oU 30 sends a pairing report for 0 shares tothe owner of the order; however, if the order has multiple pairingreports, pairing reports for 0 shares are not sent. Each pairing reportincludes the number of shares released from in-process, which triggersthe recipient order ELF into applying its pending action queue to theshares released from in-process. In some embodiments, the pairing reporttriggers oU 30 into applying its pending action queue.

At step 1408, oU 30 checks whether external reporting is required. Ifso, then at step 1410, oU 30 sends reports of pairings along with theearlier obtained certificate to the external points. The priordiscussion of the terms “take,” “pair,” “report” and “execution”clarifies how a pairing becomes an execution. Processing is nowcomplete.

FIG. 71 is a flowchart showing get next order in priority threadprocessing. At step 1420, oU 30 gets the next order from Reg-1. At step1421, oU 30 checks whether this is a trial order. If so, then at step1422, oU 30 adjusts, in Reg-1, the original quantity of the trial orderto zero, and processing is complete. If the order is not a trial order,then processing is complete. An example of attempt execution processingwill now be provided. Let it be assumed that the active side order is amarket order to buy 800 shares, i.e., x1=800, and that oU 30 is asuperbook umpire supporting trial executions.

Table 12A shows pertinent portions of Reg-1 after FIG. 65, step 1258,get best orders. In this example, the standby factor was 1.1.Accordingly, oU 30 needed to obtain at least s1=800*(1+1.1)=1680 shares.The amount obtained, Q1, is seen to be 2100 shares summed across the sixbest sell orders in the book.

TABLE 12A after after total original mirror get next shares order IDprice qty. affirmed ELF exec'n order paired paired AA 17 400 BB 17 200CC-trial 17 100 DD 17 300 EE 17.3 500 FF 17.6 600 Q1 2100

Table 12B shows pertinent portions of Reg-1 after FIG. 65, step 1260,affirm quantity. In this example, order AA was affirmed for 0 shares,and only a portion of each of orders BB and EE was affirmed. Theentirety of the other orders was affirmed. Accordingly, Q1 has beenupdated to 1500 shares.

TABLE 12B after after total original mirror get next shares order IDprice qty. affirmed ELF exec'n order paired paired AA 17 400 0 BB 17 200100 CC-trial 17 100 100 DD 17 300 300 EE 17.3 500 400 FF 17.6 600 600 Q12100 1500

Table 12C shows pertinent portions of Reg-1 after checking each order tosee if a mirror ELF is involved. In this example, none of the orders hada mirror ELF involved. Table 12C also shows Reg-1 during processing ofFIG. 65, step 1264C, specifically, after the second iteration of FIG.70, get next order in priority thread. In this example, the 100 affirmedshares of order BB were paired with the active side order.

TABLE 12C after after total original mirror get next shares order IDprice qty. affirmed ELF exec'n order paired paired AA 17 400 0 0 0 0 0BB 17 200 100 100 100 100 100 CC-trial 17 100 100 100 DD 17 300 300 300EE 17.3 500 400 400 FF 17.6 600 600 600 Q1 2100 1500 1500

Table 12D shows pertinent portions of Reg-1 during subsequent processingof FIG. 65, step 1264C, specifically, after the third iteration of FIG.70, get next order in priority thread. In this example, oU 30 detectedthat order CC was a trial order, set its original quantity in its bookto 0 shares (also shown in the third column of Table 12D) and sent apairing report for 0 shares to the order ELF that posted order CC.

TABLE 12D after after total original mirror get next shares order IDprice qty. affirmed ELF exec'n order paired paired AA 17 400 0 0 0 0 0BB 17 200 100 100 100 100 100 CC-trial 17 0 100 100 0 0 100 DD 17 300300 300 EE 17.3 500 400 400 FF 17.6 600 600 600 Q1 2100 1500 1500

Table 12E shows pertinent portions of Reg-1 after pairing the orders atthe best price of 17. Accordingly, oU 30 conducted a price improvementauction among its crowd of registered ELFs, got a response, indicated asorder GG, for 100 shares at 17.2, and paired the crowd response with theactive side order. So far, 500 shares of the 800 shares in the activeside order have been paired.

TABLE 12E after get total order original after mirror next shares IDprice qty. affirmed ELF exec'n order paired paired AA 17 400 0 0 0 0 0BB 17 200 100 100 100 100 100 CC-trial 17 0 100 100 0 0 100 DD 17 300300 300 300 300 400 GG- 17.2 100 NA NA 100 100 500 crowd EE 17.3 500 400400 FF 17.6 600 600 600 Q1 2100 1500 1500

Table 12F shows pertinent portions of Reg-1 during subsequent processingof FIG. 65. In this example, oU 30 again got order EE and noticed thatthe price had changed, from 17.2 to 17.3. Accordingly, oU 30 conducted aprice improvement auction among its crowd of registered ELFs, but got noresponses. So, order EE was returned as the next order. However, thequantity of order EE exceeded the quantity of the active side order, soonly a portion of order EE was paired. At this point, all 800 shares inthe active side order have been paired. At step 1405 of FIG. 70, thebook is updated to reduce the quantity of order BB by 100 shares, removeorders CC and DD, and reduce the quantity of order EE by 300 shares. Theholds and in-process indications for all orders, as adjusted, arereleased.

TABLE 12F after get total order original after mirror next shares IDprice qty. affirmed ELF exec'n order paired paired AA 17 400 0 0 0 0 0BB 17 200 100 100 100 100 100 CC-trial 17 0 100 100 0 0 100 DD 17 300300 300 300 300 400 GG- 17.2 100 NA NA 100 100 500 crowd EE 17.3 500 400400 400 300 800 FF 17.6 600 600 600 Q1 2100 1500 1500

FIG. 72 is a flowchart showing how oU 30 responds to receiving avalidate order request from an oE. At step 1435, oU 30 verifies that theorder's parameters are consistent with its own parameters, replies tothe requesting oE that the order is valid or invalid, and processing iscomplete.

FIG. 73 is a flowchart showing how oU 30 responds to receiving a marketorder. At step 1440, oU 30 sets x1 to the quantity, x2 as notapplicable, and x3 as the minimum lot size. At step 1445, oU 30 performsattempt execution processing, shown in FIG. 65, and processing iscomplete.

FIG. 74 is a flowchart showing how oU 30 responds to receiving a “postto umpire” request from an order ELF, such as oE 10. At step 1500, oU 30conditionally posts, that is, posts the order received from order ELF 10to its book with a hold, using method-specific processing, if necessary.An example of method-specific processing for the BidPlus method is shownin FIG. 75. At step 1501, oU 30 checks whether the post was successful.If the post is not successful, at step 1502, oU 30 sends a reject backto oE 10 with an appropriate reason code. Reject processing is notdescribed herein for brevity. Processing is complete.

If the post was successful, at step 1503, oU 30 checks whether there isa mirror ELF for this symbol. If not, processing proceeds to step 1505.If so, at step 1504, oU 30 checks if it is in fast mode for this symbol.If so, at step 1505, oU 30 performs a commit post, that is, enters theorder in its book. Processing continues at step 1509. If the symbolinvolved in the order is not in fast mode at oU 30, then at step 1507,oU 30 sends a post response message to the mirror ELF. It is expectedthat the mirror ELF will respond to the post response message, and whenthe response arrives, at step 1508, oU 30 performs receive post responsefrom mirror ELF processing, shown in FIG. 52. Processing continues atstep 1509.

At step 1509, oU 30 sends the result, namely, the number of shares itposted, to oE 10.

At step 1510, oU 30 checks whether the post was successful, and if so,at step 1511, performs first look processing shown in FIG. 76 andprocessing is complete.

In some embodiments, the first look processing is integrated with theconditional posting and/or commit posting.

FIG. 75 is a flowchart showing BidPlus processing for posting to anumpire. At step 1610, oU 30 timestamps the order to indicate the time atwhich the order was posted. At step 1615, oU 30 converts liquiditycurves into “aggressiveness,” that is, the premium offered or demandedat the quantity posted relative to the market price. At step 1620, oU 30sets the matchable size of this order to the posted size. At step 1625,oU 30 conditionally appends the order to its book. If the conditionallyappended order is not confirmed within a predetermined time, then itwill automatically be un-appended. Processing is complete.

FIG. 76 is a flowchart showing first look processing logic. At step1630, oU 30 tests whether it provides the first look feature. If not,processing is complete. If oU 30 provides a first look feature, then atstep 1635, oU 30 tests if the posted order improves the market. If not,then processing is complete. If the posted order improves the market, atstep 1640, oU 30 records the current oE as providing the best market. Atstep 1645, oU 30 informs the contra best market provider of the new bestmarket order. Since the contra best market provider is receiving thisinformation in advance of the rest of the market, the contra best marketprovider has a first look at the new market. At step 1650, oU 30 sets atimer and, at step 1655, when the timer expires, oU 30 makes the newbest market visible to all other oEs registered therewith.

FIG. 77 is a flowchart showing the logic for price proposal processing.At step 1657, oU 30 updates the order control table and forwards theproposal to the contra-side ELF.

FIG. 78 is a flowchart showing the logic for route order processing. Atstep 1659, oU 30 processes this order for any special instructions. Anexample of special instructions would cause the order to be forwarded,as is, to the mirror ELF. In this case, oU 30 is operating as an inputstation to the other side, which is in fast mode for the symbolspecified in this order.

FIG. 79 is a flowchart showing how oU 30 responds to receiving a crowdregistration request from an oE. At step 1660, oU 30 adds the oE to itsregistered crowd list shown in FIG. 36. Processing is now complete. Itwill be appreciated that only ELFs that have been accepted to registerwith this umpire in the first place may interact with it at all,including registering in the crowd.

FIG. 80 is a flowchart showing how oU 30 responds to receiving a crowdderegistration request from an oE. At step 1665, oU 30 removes the oEfrom its registered crowd list. Processing is now complete.

FIG. 81 is a flowchart showing how oU 30 responds to receiving a cancelorder instruction from an order ELF, such as oE 10. At step 1670, oU 30tries to find the order corresponding to the cancel from oE 10. If oU 30cannot find the order, at step 1671, oU 30 sends a reject back to oE 10with an appropriate reason code. Reject processing is not describedherein for brevity.

If oU 30 finds the order indicated in the cancel message from oE 10,then at step 1672, oU 30 sets a parameter “A” to be the number of sharesof the order that are available for immediate cancellation, and setsanother parameter “B” to be the number of shares of the order that arein-process. For example, if the order is stored in oU 30's book and isnot interacting with any contra-side orders, then all shares of theorder are available. At step 1673, oU 30 conditionally cancels thelesser of “A,” the available shares, and the number of shares specifiedin the cancel message from oE 10. At step 1674, oU 30 checks whetherthere is a mirror ELF for this symbol. If not, processing continues atstep 1676. If there is a mirror ELF for this symbol, at step 1675, oU 30tests whether the symbol of the order is in fast mode at oU 30. If so,oU 30 is not following a two phase order processing protocol, and atstep 1676, oU 30 cancels the lesser of “A,” the available shares, andthe number of shares specified in the cancel message from oE 10. When oU30 unconditionally cancels shares, oU 30 updates its order book toreduce the amount of the order by the cancelled shares. Processingcontinues at step 1681. If oU 30 is not in fast mode for this symbol,then at step 1678, oU 30 sends a cancel response message to mE 50. It isexpected that mE 50 will respond to the cancel response message, andwhen the response arrives, at step 1679, oU 30 performs receive cancelresponse from mirror ELF processing, shown in FIG. 51. Processingcontinues at step 1681.

At step 1681, oU 30 returns a result to oE 10 comprising two numbers:A′, the amount cancelled, and B′, the amount in-process. oE 10 may nowenqueue an action for the in-process amount B′. In other embodiments,the enqueueing is performed by oU 30. In other embodiments, there is anenqueueing mechanism managed by platform services 60.

FIG. 82 is a flowchart showing how oU 30 responds to receiving anauction request from an oE. At step 1710, oU 30 tells the oEs in itscrowd that an auction is occurring. All crowd interaction is done underthe in-process state, i.e., if an oE in the crowd bids during and if theorder is paired, the oE will not be given a chance to affirm its orderprior to the pairing or to cancel. At step 1720, oU 30 checks whetherany of the oEs in its crowd have responded. If there were no responsesfrom the crowd, at step 1725, oU 30 advises the oE that requested theauction of the absence of responses. If there were response(s) from thecrowd, at step 1730, oU 30 returns the responses to the order ELF thatrequested the auction. The bidding ELFs are notified of the outcome andthe auction request processing is now complete.

FIG. 83 is a flowchart showing stop request processing. At step 1310, oU30 checks whether it permits stops and whether other appropriateconditions are satisfied. If not, at step 1315, oU 30 tells therequesting order ELF that the stop is denied. If oU 30 permits stops andother appropriate conditions exist, then at step 1317, oU 30 asksplatform services 60 to create an instance of stop order manager 67 tomeasure the expiration time for the stop order, and at step 1319, oU 30sequesters the requested quantity. In the case of a buy, sequesteringmeans holding the shares so no one else can buy them; in the case of asell, sequestering means allocating purchasing power so it will not beused elsewhere. Generally, shares are sequestered from a dealer'sinventory so the dealer bears the risk of price movement. However, if acustomer's shares are sequestered, then the dealer generally compensatesthe customer for an adverse execution price. In some embodiments, acustomer (order room) designates whether its order can be sequesteredfor a contra-party's stop when the customer posts the order. At step1320, oU 30 tells the requesting order ELF that the stop is granted.Processing is now complete.

FIG. 84 is a flowchart showing how oU 30 responds to traffic receivedfrom platform services 60. At step 1735, oU 30 classifies the messagereceived from platform services 60.

If the message is a status inquiry, then at step 1740, oU 30 responds tothe status inquiry, and processing is complete.

If the message is a notice from platform services 60, specifically fromlinked order execution manager 61, that a pairing occurred, then at step1745, oU 30 invokes stop exercise processing logic shown in FIG. 64B.Processing is complete.

If the message is a notice that a stop expired, then at step 1765, oU 30releases the shares sequestered for the stop, if they are stillsequestered, and processing is complete.

If oU 30 is in fast symbol mode, then oU 30 will reject most types ofmessages from platform services. At step 1770, oU 30 returns a reject toplatform services 60, and processing is complete.

FIG. 85 is a flowchart showing how oU 30 responds to receiving aprocessing trigger. All umpire methods follow this pattern. First, atstep 1802, oU 30 tests if the other side is in fast mode for the symbolinvolved and, if so, skips all further processing and exits this logic.Otherwise, at step 1804, oU 30 tests whether this process requires anin-process state. If so, oU 30 continues at step 1805. Otherwise, oU 30resumes at step 1820. At step 1805, oU 30 sets the in-process state insystem status board 74. At step 1820, oU 30 invokes method-specificexecution processing. Examples of method-specific execution processingare provided in FIGS. 86, 87 and 88. At step 1825, for each orderpaired, oU 30 performs external report certification processing, shownin FIG. 66, and performs execute quantity processing, shown in FIG. 70.At step 1830, if the process required an in-process state, oU 30 resetsthe in-process status in system status board 74.

FIG. 86 is a flowchart of sealed-bid auction processing by oU 30.Sealed-bid auction processing is a forced take situation. Generally, anactive side of will have requested an auction from oU 30. At step 1835,oU 30 selects an order from the book for auction, skipping each orderwith at least one umpire in its order tail that was in-process beforethis umpire started, and publishes the reserve price. At step 1840, oU30 checks whether there is a crowd registered therewith. If there is nocrowd, then processing proceeds to step 1860. If there is a crowd, thenat step 1845, oU 30 obtains bids from the crowd for the active sideorder, using the published reserve (or upset) price. At step 1850, oU 30validates that the bids from the crowd, if any, are better than thereserve price, and passes only bids that improve the reserve price tostep 1852. If ELF filtering is on, at step 1852, oU 30 checks if thebids are from ELFs incompatible with the one whose order is up forauction and ignores them if so.

After the best price has been discovered as described above, at step1860, if there were any bids, oU 30 fills the order. At step 1870, oU 30checks whether there are more orders in its book. If so, processingreturns to step 1835. If not, sealed-bid auction processing is complete.

FIG. 87 is a flowchart of match processing by oU 30. Match processing isa forced situation. At step 1875, oU 30 skips orders with umpires intheir respective order tails that were in-process before this umpirestarted. Then oU 30 computes the fraction of each buy order to the totalbuy volume and vice versa for each sell order. Then oU 30 allocates toall buy orders a quantity of the total sell volume in proportion itsfraction of the buy volume and vice versa for each sell order. At step1880, oU 30 prices each order by assigning the externally obtained priceto each order. oU 30 then exits.

In other embodiments, instead of proportionally allocating theimbalance, oU 30 may favor certain orders, such as the oldest orders,and so on. Other allocation and pricing schemes will readily beapparent.

FIG. 88 is a flowchart showing BidPlus processing. A result of BidPlusprocessing is to reward a party that takes the most market risk.Generally, each order is associated with a liquidity curve selected froma set of predefined liquidity curves. A liquidity curve plots shares onthe abscissa (x-axis) versus premium relative to the current marketprice on the ordinate (y-axis). In some embodiments, user-suppliedliquidity curves are accepted. The current premium for an order is alsoreferred to as the “aggressiveness” of the order. If the aggressivenessis a positive value, then the order is offering a premium relative tothe market. If the aggressiveness is a negative value, then the order isdemanding a premium relative to the market.

At step 1930, oU 30 sorts its book by symbol, side, decreasingaggressiveness, decreasing size and increasing posting timestamp. Atstep 1935, oU 30 goes to the first symbol in its newly sorted book. Atstep 1940, oU 30 creates lists of buy and sell orders in the same orderas the sort, skipping orders that are have in-process umpires in theirrespective order tails, and sets the list with the greatest totalquantity to be bought or sold to be the bigger-list and the list withthe lesser total quantity to be bought or sold to be the smaller-list.At step 1945, oU 30 invokes smaller-list/bigger-list match processing,shown in FIG. 89. At step 1950, oU 30 invokes match list aggressivenessprocessing, shown in FIG. 90. At step 1955, oU 30 invokes partial matchcheck processing, shown in FIG. 91. At step 1960, oU 30 adds thematchable orders to its pairing list. At step 1965, oU 30 checks whetherthere are more symbols in its book; if so, processing returns to step1940, and if not, processing is complete.

FIG. 89 is a flowchart showing smaller-list/bigger-list matchprocessing. At step 1970, oU 30 initializes to the first order in thesmaller-list. At step 1975, oU 30 pairs each order, or order fragmentfrom the smaller-list, with the next order, or order fragment, from thebigger-list. At step 1980, oU 30 appends each pair thus created to itsmatch list. At step 1985, oU 30 checks whether there are more orders inthe smaller-list; if so, processing returns to step 1970, and if not,processing is complete.

FIG. 90 is a flowchart showing match list aggressiveness processing. Atstep 2005, oU 30 initializes to the first pair of orders in its matchlist. At step 2010, using the liquidity curve specified by therespective order, and its matchable size, oU 30 determines the premiumoffered or demanded for each of the buy and sell sides. At step 2015, oU30 classifies the order pair according to the buy and sell sidepremiums.

If the classification is that both sides are offering a premium, then atstep 2020, oU 30 sets the match price to the market price, and marks theorder pair as matchable.

If the classification is that the premium offered by the buy side is atleast as large as the premium demanded by the sell side, then at step2025, oU 30 sets the match price to the market price plus the sell sidepremium, and marks the order pair as matchable.

If the classification is that the premium offered by the buy side isless than the premium demanded by the sell side, then at step 2030, oU30 marks the order pair as unmatchable.

If the classification is that the premium demanded by the buy side issmaller than or equal to the premium offered by the sell side, then atstep 2035, oU 30 sets the match price to the market price less the buyside premium, and marks the order pair as matchable.

If the classification is that the premium demanded by the buy side isgreater than the premium offered by the sell side, then at step 2040, oU30 marks the order pair as unmatchable.

If the classification is that the buy side and the sell side are bothdemanding premiums, then at step 2045, oU 30 marks the order pair asunmatchable.

At step 2050, oU 30 checks whether there are more pairs in its matchlist; if so, processing returns to step 2010, and if not, processing iscomplete.

FIG. 91 is a flowchart showing partial match check processing. At step2055, oU 30 examines the pairs on its match list until an unmatchablepair is found. At step 2060, oU 30 checks whether all pairs arematchable. If so, then processing is complete. If at least oneunmatchable pair exists, then at step 2065, oU 30 initializes to thefirst unmatchable pair. At step 2070, oU 30 checks whether any pair ismarked matchable. If so, then processing is complete. If there is a pairmarked unmatchable, then at step 2080, oU 30 checks whether one side ofthe pair is a fragment of the same order as either side in the previouspair. If not, then processing is complete. If the test at step 2080 ispositive, then at step 2085, oU 30 sets the matchable size of the orderwith fragments in the current and previous pair(s) to the sum of thepotentially matchable fragments. At step 2090, oU 30 recomputes thepremium offered or demanded based on the liquidity curve of this orderand the new matchable size. At step 2095, oU 30 performs, for all pairs,starting with the previous pair, that contain a piece of the order whosematchable 13 size was just changed, match list aggressiveness processingas shown in FIG. 90. At step 2100, oU 30 checks whether there are morepairs in its match list; if so, processing returns to step 2070, and ifnot, processing is complete.

An example of BidPlus processing is now provided.

(1) At the beginning of the match cycle the Umpire's book is as shown inTable 13A.

TABLE 13A Matchable Curve Aggres- Order Side Size Size Symbol #Timestamp siveness # B 2000 2000 XXX 4 1 −1 101 B 1000 1000 XXX 5 2 −2102 S 1200 1200 XXX 4 3 1 103 S 500 500 XXX 5 4 2 104 S 700 700 XXX 6 53 105 B 1000 1000 XXX 1 6 3 106 S 1000 1000 XXX 3 7 −1 107

(2) After sorting the Umpire's book by symbol, side, decreasingaggressiveness, decreasing size, increasing timestamp, the Umpire's bookis as shown in Table 13B.

TABLE 13B Matchable Curve Aggres- Order Side Size Size Symbol #Timestamp siveness # B 1000 1000 XXX 1 6 3 106 B 2000 2000 XXX 4 1 −1101 B 1000 1000 XXX 5 2 −2 102 S 700 700 XXX 6 5 3 105 S 500 500 XXX 5 42 104 S 1200 1200 XXX 4 3 1 103 S 1000 1000 XXX 3 7 −1 107

(3) The “smaller-list,” all orders in the book with the symbol beingprocessed with the smaller total size, is as shown in Table 13C.

TABLE 13C Matchable Curve Aggres- Order Side Size Size Symbol #Timestamp siveness # S 700 700 XXX 6 5 3 105 S 500 500 XXX 5 4 2 104 S1200 1200 XXX 4 3 1 103 S 1000 1000 XXX 3 7 −1 107

(4) The “bigger-list,” all orders in the book with the symbol beingprocessed with the larger total size, is as shown in Table 13D.

TABLE 13D Matchable Curve Aggres- Order Side Size Size Symbol #Timestamp siveness # B 1000 1000 XXX 1 6 3 106 B 2000 2000 XXX 4 1 −1101 B 1000 1000 XXX 5 2 −2 102

(5) The match-list showing the orders from the smaller-list matched withorders from the bigger-list is as shown in Table 13E. The “matchable”status and price of each pair have been set using the “match-listaggressiveness check.”

TABLE 13E Row # Order A Order B Size Price Matchable 1 105 106 700Market Yes 2 104 106 300 Market Yes 3 104 101 200 Market-1 Yes 4 103 1011200 Market-1 Yes 5 107 101 600 — No 6 107 102 400 — No

(6) Partial Match Check—The first unmatchable row, 5, is found. Sincerow 5 is unmatchable, and contains part of order 101, the matchable sizeof order 101 must be reduced from 2000 to 1400, as shown in Table 13F.

TABLE 13F Row # Order A Order B Size Price Matchable 1 105 106 700Market Yes 2 104 106 300 Market Yes 3 104 101 200 Market-1 Yes 4 103 1011200 Market-1 Yes 5 107 101 600 — No 6 107 102 400 — No

(7) The “match-list aggressiveness check” must be performed on rows 3and 4 since the matchable size of order 101 changed. Due to change inmatchable size of order 101, its aggressiveness changed. Row number 4 isnow unmatchable. Since row 4 is unmatchable, the match listaggressiveness check must be performed again on row 3 because thematchable size of order 101 has changed. Row number 3 is stillmatchable, but at a different price since order 104 was offering a largeenough premium to match with order 101's new aggressiveness. See Table13G.

TABLE 13G Row # Order A Order B Size Price Matchable 1 105 106 700Market Yes 2 104 106 300 Market Yes 3 104 101 200 Market-2 Yes 4 103 1011200 — No 5 107 101 600 — No 6 107 102 400 — No

Table 13H shows how a price is set for a pairing based on the premiumsoffered or demanded by the orders involved in the pairing. Pairings aremarked as unmatchable when the premiums indicate lack of a mutuallyacceptable price.

TABLE 13H BUY demand offer premium SELL premium ≦ > offer mkt mkt-buyunmatchable premium demand ≦ mkt + sell unmatchable premium >>unmatchable

FIG. 92 is a flowchart showing operations control processing. Generally,oU 30 determines whether a fast symbol condition exists, sets theinternal flag according to whether the condition has been detected, andinforms all interested parties by broadcasting that fact as a parameterchange. A fast symbol condition may be detected when certain queuelengths become greater than some threshold value.

At step 2105, oU 30 determines whether a fast symbol condition exists.If not, then at step 2110, oU 30 determines if there is a mirror ELF. Ifthere is a mirror ELF, then at step 2115, oU 30 sends the book for thissymbol to synch with the other side. At step 2117, oU 30 sends updatesfor this symbol that arrive while transmitting the book to the otherside. At step 2118, oU 30 sends an exit fast mode message to the mirrorELF. At step 2119, oU 30 updates system status board 74 and broadcasts,as a parameter change, the fact that the fast symbol mode has beencanceled. If, at step 2110, there was no mirror ELF, then oU 30 proceedsdirectly to step 2119. After step 2119, operations control processing iscomplete.

If, at step 2105, the fast symbol condition was determined to exist,then at step 2120, oU 30 updates system status board 74 and broadcastsan enter fast symbol mode notification. At step 2123, oU 30 updates itsbook to reflect affirmations to the fast symbol mode from order ELFs. Atstep 2124, at the duration of the predetermined time for an order ELF toassent to fast symbol mode, oU 30 cancels all unaffirmed orders. At step2125, oU 30 sends an enter fast symbol message to the mirror ELF, ifnecessary. Processing is now complete.

Use Cases Use Case: Representation of Order in Multiple Markets WhilePreventing Duplicate Executions

FIGS. 93A-93C show oE 10 sending its market order to oU 30 and getting apairing report therefore (FIG. 93A), and the contra-side in which oU 30receives a limit order from oE 12 and pairs oE 12's limit order with oE10's market order (FIG. 93B). Meanwhile, oE 12's order is alsorepresented at oU 31, and even though oU 31 is simultaneously trying topair shares of oE 12's order that were just paired with oE 10's marketorder, a duplicate execution is prevented (FIG. 93C).

FIG. 93A shows the general processing flow for an exemplary market orderoriginating at order room 70.

First, oE 10 receives the market order from order room 70 and decides tosend it to oU 30.

At step 4000, oE 10 receives the market order from order room 70 andprocesses the newly received order. More specifically, at FIG. 21, step405, the incoming order is received and classified. At step 410, orderroom processing in FIG. 22 is invoked. In FIG. 22, at step 430, theorder is classified and at step 435, order-type traffic processing inFIG. 23 is invoked. In FIG. 23, at step 454, it is determined that theorder is not an inquiry or a cancel, and so at step 455, new orderreception processing occurs and at step 470, order processing shown inFIG. 24 is invoked.

At step 4005, oE 10 conducts discovery for the market order. Morespecifically, at FIG. 24, step 505, oE 10 determines that since this isa market order, no discovery is required, and proceeds to step 535 tobuild an action list, invoking the logic shown in FIG. 27.

At step 4010, oE 10 builds an action list for the market order. Morespecifically, at FIG. 27, step 655, oE 10 determines that this order isnot under direct trader control, and at step 655, that this is not alinked order. At step 685, no values are obtained from evaluationumpires and the price response table is empty. At step 690, oE 10creates an action list using decision engine 100 processing shown inFIG. 25. The action list indicates that the market order should beposted to oU 30. At step 692, an order tail for the order is created,indicating that the order is represented at oU 30. oE 10 returns to FIG.24 at step 540 and enters this market order in its order control table,recording that is has not yet been sent anywhere.

At step 4015, oE 10 takes action, namely, posting the market order to oU30. More specifically, at FIG. 24, step 545, oE 10 invokes transmitactions to umpires logic, shown in FIG. 28. At FIG. 28, step 710, oE 10posts the market order to oU 30, its umpire of choice, and at step 715,updates its order control table to record that the order is at oU 30.

Next, oU 30 receives the active side market order and pairs it againstpassive side contra-orders in its book. For this example, let it beassumed that there is one order in the book.

How the passive side limit order got into the book will now bediscussed. Turning to FIG. 93B, at step 4200, oE 12 received a limitorder from order room 72 and processed the limit order. The limit orderis of the form, “SELL 1900 SHARES OF SYMBOL QXF AT A PRICE OF $16 ORBETTER.” Specifically, oE 12 is operative according to FIG. 21 to invokethe logic shown in FIG. 22 when the limit order arrives. At step 430 ofFIG. 22, this instance of order room traffic is classified as order-typetraffic, and the logic shown in FIG. 23 is invoked. At step 454 of FIG.23, this order is determined to not be an inquiry or cancel, so at step455, new order reception processing is performed, and at step 470, theorder processing logic of FIG. 25 is invoked.

At step 4205 of FIG. 93B, oE 12 performs discovery for the limit order.More specifically, at step 505 of FIG. 24, the order's discoveryrequirements are classified. For this example, assume that order room 72has specified no discovery, and so processing proceeds to step 535.Discovery is illustrated in a subsequent use case, below.

At step 4210 of FIG. 93B, oE 12 builds an action list for the limitorder. Specifically, at step 535 of FIG. 24, oE 12 invokes the logicshown in FIG. 27. Assume that the order is not under direct tradercontrol, is not part of a linked order, and no values are required fromevaluation umpires. At step 690 of FIG. 27, oE 12 creates an action listusing decision engine 100. The price response table is empty, so a rulefrom the decision table is invoked, saying that:

-   -   if (the order is a limit order for QXF symbol)        -   then (post the order to oUs 30 and 31)            At step 692, oE 12 creates an order tail for the limit            order, indicating the order is at oUs 30 and 31, and appends            the order tail to the limit order.

At step 4215 of FIG. 93B, oE 12 posts the limit order to oUs 30 and 31.FIG. 93B depicts the posting to oU 30, specifically, at step 545 of FIG.24, oE 12 carries out the actions in its action list. FIG. 93C depictsthe posting to oU 31 at step 4300.

At step 4100 of FIG. 93B, oU 30 receives the limit order from oE 12.Specifically, oU 30 is operative according to FIG. 46, and at step 1025classifies the received message from oE 12 as order ELF traffic, and atstep 1040, invokes the logic shown in FIG. 59. At step 1206 of FIG. 59,oE 12 invokes the post processing logic shown in FIG. 74.

At step 4105, oU 30 posts the limit order to its order book. Morespecifically, at step 1500 of FIG. 74, oU 30 conditionally posts theorder to its book, then since there is no mirror ELF, at step 1505,commits the post. At this point, oU 30 represents the order from oE 12as shown in Table 14A, oE 12 represents the order internally as shown inTable 15A and oU 31 represents the order from oE 12 as shown in Table16A. It will be understood that oE 12 also keeps track of the price atwhich the order is posted in various markets, but this is not shown inTable 15A for brevity. The “in-process” column of Table 15A correspondsto the “in-process (2)” parameter described above. The “action” columnof Table 15A corresponds to the “in-process (1)” parameter describedabove.

TABLE 14A posted in-process available 1900 0 1900

TABLE 15A original paired posted in-process action queue available total1900 0 0 1900 oU 30 1900 oU 31 1900

TABLE 16A posted in-process available 1900 0 1900

What happens to oE 10's market order at oU 30 will now be discussed.

At step 4110, oU 30 receives the market order from oE 10, the activeside order ELF, and processes the newly received order. The market orderis of the form, “BUY 1000 SHARES OF SYMBOL QXF AT MARKET PRICE.” Morespecifically, at FIG. 46, step 1025, the incoming market order isclassified and, at step 1040, order ELF traffic processing logic of FIG.59 is invoked. At FIG. 59, step 1160, the order is classified as amarket order and at step 1180, market order processing of FIG. 73 isinvoked. At FIG. 73, step 1440, the quantity x1 is set to the quantityof the incoming order, and the minimum lot size x3 is set in accordancewith the incoming order, or a default value if no minimum lot size isspecified. In this example, let x1=1000 shares and x3=100 shares. AtFIG. 73, step 1445, oU 30 invokes attempt execution processing shown inFIG. 65.

At step 4115, oU 30 gets the best contra side passive orders in itsbook. More specifically, at FIG. 65, step 1255, oU 30, ensures that ifan external exchange is involved, this order would be acceptable. Atstep 1258, oU 30 invokes the logic shown in FIG. 67 to get the bestorders in its book. At FIG. 67, step 5605, oU 30 determines that fastsymbol mode is not in effect, and uses its default standby factor. Inthis example, let the default standby factor be 0.2. At step 5620, oU 30determines that the number of shares it should consider, s1, is given bys1=1000*(1+0.2)=1200 shares. Now, oU 30 goes to its book, and selects1000 shares as regular orders and 200 shares as standby orders, in casesome of the regular order quantity is not affirmed. Since the limitorder from oE 12 is for 1900 shares, this is the only order obtained. Atthis point, oU 30 represents the order from oE 12 as shown in Table 14B.

TABLE 14B posted in-process available 1900 1200 700At step 4120, oU 30 asks passive oE 12 for affirmation that the quantityposted is still available. More specifically, returning to FIG. 65, atstep 1260, it is determined that Q1(1200)>x3 (100), and so at step 1262,oU 30 invokes affirm quantity processing shown in FIG. 68. At FIG. 68,step 1285, oU 30 asks oE 12 for affirmation.

Turning to FIG. 93B, at step 4220, oE 12 receives the affirmationrequest from oU 30 and at step 4225 affirms the availability of 1200shares. More specifically, oE 12 is operative at FIG. 21 to, at step415, invoke order umpire traffic processing shown in FIG. 32. At FIG.32, oE 12 classifies the affirmation request from oU 30 as related toprices, and at step 735, invokes the prices processing logic shown inFIG. 33. At FIG. 33, oE 12 classifies the affirmation request as such,and at step 803, invokes the affirmation request processing logic shownin FIG. 34. At step 828 of FIG. 34, oE 12 determines that the requested1200 shares are readily available as the order for 1900 shares is stillposted at oUs 30 and 31, but neither umpire is in-process or in fastsymbol mode. At step 833, oE 12 affirms to oU 30 that the 1200 sharesare available, and adjusts its order control table to show that the 1200shares are in-process at oU 30. At this point, oE 12-represents theorder as shown in Table 15B; Table 15B may be considered as showingpertinent portions of the order control table.

TABLE 15B original paired posted in-process action queue available total1900 0 1200 700 oU 30 1900 1200 oU 31 1900

At step 4125, oU 30 receives the affirmation from oE 12 for the selectedshares. Thus, at FIG. 68, step 1294, all 1200 shares in Reg-1 areaffirmed. Returning to FIG. 65, at step 1267, oU 30 checks whether amirror ELF is involved. In this example, assume no mirror ELF.Accordingly, at step 1275, oU 30 invokes execute quantity processingshown in FIG. 70.

At step 4130, oU 30 pairs the shares of the selected passive side orderswith the shares of the active side order. More specifically, at FIG. 70,step 1385, oE 12's passive side order to be paired with oE 10's activeside order is obtained, and at step 1390, 1000 shares of the passiveside order is paired with the entire 1000 shares of the active sideorder.

At step 4135, oU 30 sends individual pairing reports to all oEs thatparticipated in pairings. More specifically, at FIG. 70, step 1407, oU30 sends a pairing report for 1000 shares to each of the oE 10 and oE12. The pairing report also includes the amount released from in-processbut not acted upon. In this example, the pairing report to oE 12 shows1000 shares paired and 200 shares released from in-process. At thispoint, oU 30 represents the order from oE 12 as shown in Table 14C.

TABLE 14C posted in-process available 900 0 900In some embodiments, oU 30 accumulates pairing reports for an order ELFthat are close in time, and sends the accumulated pairing reportstogether. Via FIG. 65, processing now returns to FIG. 73, and thence toFIG. 59.

At step 4040, oU 30 sends a final pairing report to oE 10, indicatingthat its order has been completely filled. At FIG. 59, step 1210, oU 30reports to oE 10 that its order has been completely filled. oU 30 is nowfinished processing this market order.

At step 4035, oE 10 receives the pairing reports sent from oU 30 at step4135. At FIG. 21, step 405, oE 10 classifies the pairing reports, and atstep 415, oE 10 invokes order umpire traffic processing shown in FIG.32. At FIG. 32, step 725, oE 10 classifies the pairing reports and atstep 742, oE 10 invokes pairing report processing shown in FIG. 40.

At step 4040, oE 10 forwards the pairing reports to order room 70. Morespecifically, at FIG. 40, step 890, oE 10 updates its order controltable and at step 896, reports the pairings to order room 70.

Similarly, at steps 4235 and 4240 of FIG. 99, oE 12 receives a pairingreport for 1000 shares. oE 12's processing proceeds through FIG. 21,step 415, to FIG. 32, step 742, to FIG. 39. At step 890, the ordercontrol table is adjusted, going from 1900 shares with 1200 sharesmarked as “in-process,” to 1900 shares with 1000 shares paired and 200shares newly released for a total of 900 shares still available. At step891 of FIG. 39, oE 12 invokes cancel order processing, shown in FIG.29B, for the 1000 shares no longer available.

At step 4245 of FIG. 93B, oE 12 sends a cancel for the 1000 shares, justpaired at oU 30, to oU 31. See FIG. 29B, step 475. It will beappreciated that oE 12 cancels at oU 31 only the shares posted at oU 30,that is, only the overlapping share amounts. At this point, oE 12represents the order as shown in Table 15C.

TABLE 15C original paired posted in-process action queue available total1900 1000 0 900 oU 30 900 oU 31 1900 cancel 1000

At step 4045, oE 10 receives the order status report sent from oU 30 atstep 4140. oE 10 treats this as unsolicited traffic, and at step 4050,forwards the status report to order room 70. See FIG. 21, step 415; FIG.32, step 745; and FIG. 41, step 915.

FIG. 93C shows oE 12 canceling the 1000 shares of its limit order postedat oU 31 after the order was executed at oU 30, while allowing oU 31 tosimultaneously execute only the remaining shares available, namely, 900shares, despite oU 31's attempt to execute 1500 shares. Thus, duplicateexecution of portions of oE 12's order is prevented.

At step 4300 of FIG. 93C, oU 31 receives the limit order posted by oE 12(see FIG. 93B, step 4215). Assume that an active side order from anotherorder ELF (not shown) has arrived at oU 31. The active side order is ofthe form, “BUY 5000 SHARES OF SYMBOL QXF AT MARKET PRICE.” At step 4303,oU 31 is attempting execution to satisfy the active side order. oU 31identifies 1500 shares of oE 12's order as part of its best orders. Asexplained above, identifying an order as a best order causes oU 31 tomark the order as in-process. See FIG. 65, step 1258, and FIG. 67, step5630. At this point, oU 31 represents the order from oE 12 as shown inTable 16B.

TABLE 16B posted in-process available 1900 1500 400

At step 4305, oU 31 asks oE 12 to affirm availability of 1500 shares;the affirmation request occurs as generally described above. See FIG.65, step 1260, and FIG. 68, step 1287. Assume that oU 31 sends itsaffirmation request for 1500 shares to oE 12 at approximately the sametime as oE 12 sends its cancel 1000 shares message to oU 31.

At step 4250, oE 12 receives the affirmation request for 1500 shares,and determines that 900 shares are available. Accordingly, oE 12 affirms900 shares, and marks these shares as in-process in pertinent portionsof its order control table 130, as shown in Table 15D. See FIG. 21, step415; FIG. 32, step 735; FIG. 33; step 803; and FIG. 34, step 833.

TABLE 15D original paired posted in-process action queue available total1900 1000 900 0 oU 30 900 oU 31 1900 900 cancel 1000

At step 4310, oU 31 receives the cancel 1000 shares message, anddetermines that it can cancel only the available amount, namely 400shares (see Table 16B). See FIG. 81, steps 1673 and 1676. The remaining(1000−400)=600 shares are in-process (see Table 16B).

At step 4320, oU 31 returns a cancel result to oE 12 of, “400 sharescancelled, 600 shares in-process.” See FIG. 81, step 1681. Whilecanceling the 400 shares, oU 31 reduces the amount posted by 400 shares,from 1900 shares to 1500 shares. At this point, oU 31 represents theorder from oE 12 as shown in Table 16C.

TABLE 16C posted in-process available 1500 1500 0

At step 4260, oE 12 receives the cancel result and updates its ordercontrol table to reflect that 400 shares were cancelled, and a 600 sharecancel request is enqueued for oU 31. See FIG. 29B, step 490. At thispoint, pertinent portions of oE 12's order control table 130 are asshown in Table 15E.

TABLE 15E original paired posted in-process action queue available total1900 1000 900 0 oU 30 900 oU 31 1500 900 cancel 600

At step 4325, oU 31 receives the affirmation from oE 12 for 900 shares.See FIG. 68, step 1294. Let it be assumed that oU 31 pairs the 900shares of oE 12's order with a contra-side active order (not shown)using the logic shown in FIG. 65, step 1275. At this point, oU 31represents the order from oE 12 as shown in Table 16D.

TABLE 16D posted in-process available 600 0 600

At step 4330, oU 31 sends a pairing report to oE 12 indicating that 900shares were paired and 600 shares were released from in-process. SeeFIG. 70, step 1407.

At step 4265, oE 12 receives the pairing report, forwards the pairingreport to order room 72 and updates its order control table to reflectthat 900 additional shares were paired. See FIG. 21, step 415; FIG. 32,step 742, and FIG. 39, step 896. Accordingly, at step 4280, oE 12 sendsa message to oU 30 to cancel 900 shares. See FIG. 39, step 891, and FIG.29B, step 475. Meanwhile, the information in the pairing report that 600shares were released from in-process at oU 31 causes oE 12 to, at step4270, apply the enqueued actions for oU 31, see FIG. 39, step 889, andFIG. 40, step 790, and so, at step 4275, oE 12 sends a message to oU 31to cancel 600 shares. See FIG. 40, step 790, and FIG. 29B, step 475. Atthis point, pertinent portions of order control table 130 for oE 12 areas shown in Table 15F.

TABLE 15F original paired posted in-process action queue available total1900 1900 0 0 oU 30 900 cancel 900 oU 31 600 cancel 600

At step 4285, oE 12 receives the cancel result from oU 30, namely, that900 shares were successfully canceled and no shares are in-process. SeeFIG. 29B, step 480.

At step 4345, oU 31 receives the cancel 600 shares message from oE 12and conditionally cancels the 600 shares, then finally cancels the 600shares. See FIG. 81, steps 1673 and 1676. At step 4350, oU 31 sends acancel result message to oE 12, indicating that 600 shares were canceledand no shares are in-process. See FIG. 81, step 1681.

At step 4290, oE 12 receives the cancel result from oU 31, see FIG. 29B,step 480, and processing is complete.

Use Case: Mirror ELF Synchronizing Two Markets

FIG. 94 shows an example of canceling an order represented in twomarkets, oU 31 and oU 32, linked by a minor ELF, mE 51.

At step 4400, oU 31 receives a cancel instruction from one of the orderELFs registered therewith. At step 4410, oU 31 determines the amountavailable, and at step 4420, conditionally cancels the available amount.Since there is a mirror ELF, at step 4430, oU 31 sends a cancelinstruction to the mirror ELF for the available amount. See FIG. 81

At step 4432, mE 51 receives the cancel instruction from oU 31 andforwards it to oU 32. mE 51 also sets a local timer to the predeterminedtime interval within which oU 32 must respond. See FIG. 4

At step 4435, oU 32 receives the cancel instruction from mE 51, and atstep 4445, conditionally cancels the amount in the cancel instruction.At step 4455, oU 32 sends a cancel response to mE 51, indicating thenumber of shares that were cancelled and the number of shares that arein-process. See FIG. 49.

At step 4456, mE 51 receives the cancel response from oU 32 anddetermines that it was received in time, that is, before the timer setat step 4432 expired. Accordingly, at step 4466, mE 51 forwards thecancel response to oU 31 and, at step 4476, sends an acknowledgement ofthe cancel response to oU 32. See FIG. 4.

At step 4470, oU 31 receives the cancel response from mE 51, and at step4480, commits the cancel. At step 4490, oU 31 reports to its registeredorder ELF that the cancel instruction has been complied with. See FIGS.51 and 81.

At step 4485, oU 32 receives the cancel acknowledgement from mE 51, andat step 4495, commits the cancel. See FIG. 53.

FIG. 95 is a flowchart showing, generally, how an action is performed byan umpire that is on either end of a mirror ELF link. The action isreceived from either an order ELF or a mirror ELF, and specifies anoperation and the number of shares involved. The operation may be, e.g.,cancel, post, affirm or execute.

At step 6005, the umpire checks whether there is another umpire on theother side of the mirror ELF, and that other umpire is in fast symbolmode. If so, at step 6010, this umpire simply routes the action to themirror ELF, and processing is complete.

If either of the conditions tested at step 6005 are not true, then atstep 6015, this umpire conditionally performs the specified operation onthe specified quantity. At step 6020, this umpire checks whether thespecified conditional operation was successfully performed. If not, thenat step 6080, this umpire performs appropriate error handling andprocessing is complete.

If the conditional operation was successfully performed, at step 6025,this umpire checks whether there is a mirror ELF and there is no localfast symbol mode. If not, processing proceeds to step 6055. If so, thenat step 6030, this umpire sends an instruction, via the mirror ELF, tothe umpire on the other side of the mirror ELF to perform the operationas specified. At step 6035, the umpire receives a response from theother side umpire, via the mirror ELF, identifying A′, the quantity ofshares on which the operation was performed, B′, the quantity of sharesin-process at the other side umpire, and C′, a failure code, if any. Atstep 6040, this umpire checks whether the operation was successfullyperformed. If not, at step 6045, this umpire performs appropriate errorhandling and processing is complete. If the operation was successfullyperformed at the umpire on the other side of the mirror ELF, this umpiresets its local parameters corresponding to the information in theresponse, and processing proceeds to step 6055.

At step 6055, this umpire commits the operation, that is,unconditionally performs the operation. At step 6060, this umpire checkswhether the operation was successfully performed. If not, processingproceeds to step 6080. If the operation was successfully performed, andthere are some shares in-process, then the specified operation isenqueued for these shares. Processing is now complete.

Use Case: Linked Order

Linked order processing is the mechanism used by an order room toevaluate one or more markets and trigger executions once the marketssatisfy some desired objective function. There are two forms ofexecutions that are supported by system 5: best efforts execution andguaranteed execution. The guaranteed form is discussed below.

FIG. 96 is a flowchart showing an order room's linked order controller71. In this embodiment, linked order controller 71 resides at order room70. In other embodiments, linked order controller 71 resides on theplatform of system 5, for example, in an order ELF.

At step 7010, linked order controller 71 requests discovery from as manyof the order room's order ELFs as appropriate, and, via the order ELFs,from service umpires as desired. Based on this discovery, at step 7020,linked order controller 71 checks whether an objective function for thelinked order is satisfied. Generally, an objective function comprises atleast one condition for each leg of the linked order. An order roomdetermines how many of the conditions need to be true for the objectivefunction to be satisfied. Thus, a trader can define a so-called programtrade, and require that all legs precisely satisfy the objectivefunction, or specify that, e.g., if 95% of the conditions are satisfied,then the objective function is satisfied. If the objective function isnot satisfied, processing returns to step 7010 to monitor relevantmarket changes forwarded by the order ELFs.

When the objective function is satisfied, at step 7030, linked ordercontroller 71 tells all pertinent order ELFs to request stops. At step7040, linked order controller 71 checks whether stops have been grantedfor all legs of the linked order. In other embodiments, linked ordercontroller 71 employs a different set of conditions at step 7040, thatis, the conditions can be for other than whether stops have been grantedfor all legs of the linked order. If all stops have not yet beengranted, at step 7050, linked order controller 71 checks whether anystop has been denied, or whether any granted stop has expired. Ifneither of these conditions has occurred, processing returns to step7040. If a stop has been denied or expired, processing returns to step7010. In some embodiments, linked order controller 71 is not responsiblefor obtaining stops, rather, linked order execution manager 61 ofplatform services 60 is responsible for obtaining stops for the legs ofthe linked order.

When all stops have been granted, or the appropriate conditions havebeen met, at step 7060, linked order controller 71 sends a linked orderexecution request to platform services 60, which creates an instance oflinked order execution manager 61 to respond to the linked orderexecution request, as described above. At step 7065, linked ordercontroller 71 receives a message and classifies it. If the message isnot an execution report, at step 7090, linked order controller 71receives notice from linked order execution manager 61 that the linkedorder was not executed (see FIG. 8, step 3025) and processing returns tostep 7010. Otherwise, at step 7070, linked order controller 71 receivesthe pairing reports for the legs of the linked order from variousumpires. At step 7080, linked order controller 71 receives a linkedorder execution confirmation from linked order execution manager 61.

In one embodiment of the best efforts form of linked order execution,steps 7060 and 7080 are omitted. Instead of step 7060, linked ordercontroller 71 sends a “stop exercise” instruction to each order ELF. Ina modification, stops are obtained only for selected legs, generally forsymbols having fast moving markets. In another embodiment of the bestefforts form of linked order execution, linked order controller 71monitors for whether the objective function is satisfied, and when theobjective function is satisfied, linked order controller 71 sends marketorders to the appropriate order ELFs; linked order execution manager 61is not used. In best efforts execution, there is a risk that a leg ofthe linked order cannot be obtained at the desired price. In someembodiments, linked order controller 71 omits stops entirely during bestefforts execution, instead sending market or limit orders to its orderELFs as is done in conventional program trading.

FIG. 97 shows an example of linked order processing. When there are manyinstances of an entity involved, a processing box is shown withcorresponding boxes offset behind the box.

At step 7100, linked order controller 71 requests discovery from itsorder ELFs. See FIG. 96, step 7010. At step 7105, the order ELFs receivethe discovery request and obtain discovery, such as from market statusboard 75 or by querying at least one umpire. See FIG. 24, step 505.Discovery details are omitted from FIG. 97 for brevity. The order ELFsprovide the requested discovery to linked order controller 71.

At step 7110, linked order controller 71 decides that the objectivefunction for the linked order is satisfied. See FIG. 96, step 7020. Atstep 7115, linked order controller 71 instructs pertinent ELFs to getstops for the legs of the linked order. See FIG. 96, step 7030. At step7120, the order ELFs receive the request stop messages, and in turn,request stops from order umpires. See FIG. 28, step 706. At step 7125,the order umpires receive the stop requests from the order ELFs, notifythe order ELFs that the stops are granted, and ask platform services 60to create instances of stop order manager 67 to manage the expirationtime of the stops. See FIG. 83, step 1320. At step 7135, the orderumpires sequester the shares for the stops. See FIG. 83, step 1319. Atstep 7130, platform services 60 creates instances of stop order manager67 to manage the expiration time for the stops. See FIG. 7, step 3002.At step 7140, the order ELFs receive the stop granted notices andforward them to linked order controller 71. See FIG. 37, step 882.

At step 7145, linked order controller 71 determines that all stops havebeen granted. See FIG. 96, step 7040. At step 7150, linked ordercontroller 71 sends a linked order execution request to platformservices 60. See FIG. 96, step 7060.

At step 7155, platform services 60 receives the linked order executionrequest and creates an instance of linked order execution manager 61 tomanage guaranteed execution for the linked order. See FIG. 8, step 3012.At step 7160, LOEM 61 sends freezes to relevant stop order managers 67.See FIG. 8, step 3016. At step 7165, stop order managers 67 accept thefreezes and acknowledge their acceptance to LOEM 61. See FIG. 7, step3003. LOEM 61 ensures that all sequestered shares are still available.Now, LOEM 61 knows it is safe to exercise the stops.

At step 7170, LOEM 61 sends stop exercise orders to all the umpiresinvolved in the stops. See FIG. 8, step 3024. At step 7175, the umpiresreceive the stop exercise orders and pair the shares from their books asper the stop exercise orders from LOEM 61. See FIG. 84, step 1745, andFIG. 64B, step 5370. At step 7180, the umpires send pairing reports tothe order ELFs involved in the pairings. See FIG. 64B, step 5390. Atstep 7185, the order ELFs receive the pairing reports and forward themto linked order controller 71. See FIG. 39, step 898. At step 7190,linked order controller 71 receives the pairing reports for the legs ofits linked order. See FIG. 96, step 7070.

At step 7195, LOEM 61 sends a linked order execution confirmation tolinked order controller 71. See FIG. 8, step 3026. At step 7199, linkedorder controller 71 receives the linked order execution confirmation.See FIG. 96, step 7080.

Use Case: Trial Order Processing

FIG. 98 illustrates how an order ELF and an order umpire co-operate toprocess a trial order. A utility of trial orders is to provide discoveryregarding market depth. It will be appreciated that pricing for smallorders is not necessarily the same as pricing for large, negotiatedorders. Further, a trial order returns results specific to the orderumpire at which the trial order is posted. A trial order may beconsidered to be a type of limit order.

At step 4500, order ELF 12 receives a trial order from order room 72 andperforms new order processing. See FIG. 21, step 410; FIG. 22, step 435;FIG. 23, step 455. At step 4505, oE 12 performs discovery at umpiresthat support trial orders. See FIG. 23, steps 505-533. At step 4510, oE12 builds an action list for the trial order. See FIG. 24, step 535. Atstep 4515, oE 12 takes action according to the action list, namely,posting the trial order to oU 30. See FIG. 24, step 545, and FIG. 28,step 706.

At step 4520, oU 30 receives the posted trial order and processes it.See FIG. 46, step 1040, and FIG. 59, step 1206. At step 4525, oU 30posts the trial order to its order book. See FIG. 74, steps 1500 and1505. Let it be assumed that a contra-side order is posted and, at step4530, oU 30 selects the trial order as one of the best orders forpairing with the newly posted contra-side order. See FIG. 65, step 1258.At step 4535, oU 30 asks oE 12 to affirm availability. See FIG. 65, step1260, and FIG. 68, step 1287.

At step 4540, oE 12 receives the request for affirmation from oU 30, anddetermines that all of the posted shares in the trial order are stillavailable. See FIG. 21, step 415; FIG. 32, step 735; FIG. 33, step 803;and FIG. 34, step 828. At step 4545, oE 12 sends an affirmation ofavailability to oU 30. See FIG. 34, step 833.

At step 4550, oU 30 receives the affirmation of availability from oE 12.See FIG. 68, step 1294. At step 4555, oU 30 obtains the trial order asthe next order in the priority thread, detects that it is a trial order,so adjusts its amount to zero. See FIG. 65, step 1275; FIG. 70, step1385; and FIG. 71, step 1422. oU 30 then pairs 0 shares of the trialorder with the newly posted contra-side order. Accordingly, the priorityof regular orders is not disturbed by the presence of the trial order.At step 4560, oU 30 sends a pairing report for 0 shares to oE 12. SeeFIG. 70, step 1407.

At step 4585, oE 12 receives the pairing report, see FIG. 21, step 415;FIG. 32, step 742; and FIG. 39, step 890; and at step 4590, forwards thepairing report for the trial order to order room 72. See FIG. 39, step898.

Use Case: Voluntary auction mode during discovery

FIG. 99 illustrates how an active-side order ELF, oE 10, a book umpirewith a crowd, oU 30, and a crowd order ELF, oE 12, co-operate duringauction mode discovery. In this example, oE 10 asks oU 30 for discoverywith auction mode. oE 12 improves upon oU 30's book price, and oE 10must take oE 12's price.

At step 4600, oE 10 receives an order from order room 70, see FIG. 21,step 410; FIG. 22, step 435; and FIG. 23, step 455, and at step 4605,creates a discover list, see FIG. 23, steps 470 and 520. As part ofcreating a discover list, at step 4610, oE 10 sends a discover requestto order umpire 30, operative according to the superbook method,accompanied by an indication that oE 10 accepts auction mode. See FIG.23, step 525, and FIG. 26, step 645.

At step 4620, oU 30 receives the discover request from oE 12. See FIG.46, step 1040; FIG. 59, step 1202; FIG. 61, step 1218; and FIG. 62, step5305. At step 4625, oU 30 gets its book prices, see FIG. 62, step 5310.At step 4630, oU 30 notifies its crowd of registered order ELFs that aprice improvement opportunity exists. The notice includes the discoverrequest and the price(s) oU 30 proposes to provide in response to thediscover request. See FIG. 62, step 5325.

At step 4640, oE 12 receives the price improvement opportunity noticefrom oU 30. See FIG. 21, step 415; FIG. 32, step 735; and FIG. 33, step805. At step 4645, oE 12 computes a bid price, and determines that itsbid price improves upon oU 30's proposed price, see FIG. 35, step 815.At step 4650, oE 12 sends its bid price to oU 30, see FIG. 35, step 820.

At step 4660, oU 30 treats oE 12's crowd response as an order, treats oE10's discovery request as an order, and pairs oE 12's order with oE 10'sorder. See FIG. 62, step 5335 and FIG. 70, step 1390. At step 4661, oU30 sends pairing reports to oE 10 and oE 12. See FIG. 70, step 1407. Atsteps 4662-4663 and 4664-4665, oEs 10 and 12 respectively receive thepairing reports and forward them to order rooms 70 and 72. At step 4670,oU 30 sends the unexecuted book price(s) to oE 10. See FIG. 62, step5340.

At step 4675, oE 10 receives the discover response price(s) from oU 30,see FIG. 23, step 526. At step 4680, oE 10 puts the discovered pricesinto its price response table 120, see FIG. 23, step 529. At step 4685,oE 10 builds an action list, see FIG. 23, step 535.

Use Case: Automatic Auction Mode During Execution (Superbook)

FIG. 100 illustrates how an active-side order ELF, oE 10, a superbookumpire, oU 30, a passive-side order ELF, oE 11, and a crowd order ELF,oE 12, co-operate during superbook execution.

At step 4700, oE 10 posts a market order that it has received from itsorder room to oU 30. A more detailed explanation of receiving a marketorder and posting the market order is provided for FIG. 98, steps4000-4015. See FIG. 21, step 410; FIG. 22, step 435; FIG. 23, step 470;FIG. 24, step 545; and FIG. 28, step 710.

At step 4705, oU 30 receives the market order from oE 10. See FIG. 46,step 1040; FIG. 59, step 1205; and FIG. 73, step 1445. At step 4710, oU30 gets the best orders from its book to pair against the market order.See FIG. 65, step 1258. At step 4715, oU 30 asks the owners of theorders for affirmation of availability. See FIG. 65, step 1262; and FIG.68, step 1287.

At step 4720, oE 11 receives the request for affirmation, checks theavailability of the shares, see FIG. 21, step 415; FIG. 32, step 735;and FIG. 33, step 803, and affirms to oU 30 that the shares areavailable, see FIG. 34, step 833.

At step 4730, oU 30 pairs the passive side affirmed orders at the bestprice with the active side order, see FIG. 68, step 1264. At step 4735,oU 30 sends pairing reports, see FIG. 70, step 1407. At steps 4736 and4737, oEs 10 and 11 respectively receive the pairing reports and forwardthe pairing reports to their order rooms; in this example, oE 10 and oE11 are both owned by order room 70. oU 30 notices that the price willchange to fill the as yet unfilled active side order, and at step 4740,notifies its crowd of registered order ELFs that a price improvementopportunity exists, see FIG. 65, step 1270. The notice includes theamount of the market order left to fill and the price(s) oU 30 proposesto provide to fill the market order. At step 4742, oU 30 gets the bestbook orders that will fill the active side order, see FIG. 65, step1272.

At step 4745, oE 12 receives the price improvement opportunity noticefrom oU 30. See FIG. 21, step 415; FIG. 32, step 735; and FIG. 33, step805. At step 4750, oE 12 computes a bid price, and determines that itsbid price improves upon oU 30's proposed price, see FIG. 35, step 815.At step 4755, oE 12 sends its bid price to oU 30, see FIG. 35, step 820.

At step 4760, oU 30 integrates and prioritizes the crowd responses andthe best book orders, see FIG. 65, step 1274. At step 4761, oU 30affirms the book orders with the passive side oEs. At step 4762, passiveside oE 11 affirms availability of its posted shares. At step 4765, oU30 pairs the prioritized crowd responses and affirmed book orders withthe active-side market order, see FIG. 65, step 1282, and FIG. 70, step1390. At step 4770, oU 30 sends pairing reports to the order ELFs havingorders involved in a pairing, including oEs 10, 11 and 12, see FIG. 70,step 1407.

At step 4775, active side oE 10 receives the pairing report and forwardsit to order room 70. See FIG. 21, step 415; FIG. 32, step 742; and FIG.39, step 896.

At steps 4777 and 4780, passive side oEs 11 and 12 respectively receivepairing reports and forward them to order room 72. See FIG. 21, step415; FIG. 32, step 742; and FIG. 39, step 896.

Use Case: Inquiry Form of Negotiation

System 5 provides a mechanism for finding size liquidity, while reducingmarket and disclosure risk. The problem has been that, as size getslarger, giving information without getting any, such as posting in abook, becomes increasingly onerous. For this reason, large orders havealways been worked by phone and even after 30 years of automatedtrading, computers play no direct role. But phone calls are not idealeither. They are time consuming and the trader still runs disclosurerisk, i.e., the risk of giving up information without deriving benefit.The ELF-Umpire relationship described herein allows the trader to findthe right conversation quickly, and without disclosure risk.

Using system 5, traders post call lists to inquiry umpires, that is,umpires supporting the inquiry form of negotiation, assigning discretionlevels according to type of trade, and relationship. Suppose Tom Traderhas 250,000 shares of a volatile stock to sell and wants to find apossible contra party. The ideal is for him to make just one phone call.Using the elements of system 5, Tom directs an ELF to send anappropriate request to an inquiry umpire to poll all possible contrasspecifying discretion signature 1. Rapidly, the ELF polls hundreds ofinquiry umpires. A response on Tom's screen “call Joan 555-9000 onInterest xxx” indicates a match of interest and only the two involvedwould be aware of the inquiry. Note that this method relies on a humanrelationship (a level of trust between two traders) and humannegotiation, but the preliminaries were at electronic speed. Tom hasmade, in effect, only one disclosing inquiry. System 5 supports a widerange of such interactions that combine personal relationships withelectronic efficiency.

Elements of system 5 that support the inquiry form of negotiationinclude:

-   -   1. Call lists supplied with each order that specify the list of        eligible contras and the disclosure signature for each. The        eligible contras are specified either by name or by        characteristics, in accordance with disclosure signatures.    -   2. Prices are really a triple of values as shown in Table 4B        that include, in addition to a numerical price, a code and an        alpha field. Depending on the umpire methodology, the disclosure        signature, and other factors, when a price is stored or        returned, it may contain one or more of the values found in the        price triple. A typical use of the alpha field is for an alpha        message directing the contra party to contact someone in regard        to a potential mutual interest.    -   3. Umpires that use disclosure signature oriented methodologies,        such as shown in FIG. 63. For example, in FIG. 63, the umpire        maintains a book of orders with their respective call lists. Any        new orders sent to the umpire either for discovery or posting in        the book will be compared with all the relevant orders already        in the book. If the call lists are mutually indicative of the        intent to allow some form of interaction with the other party,        then some form of swapping of information is possible.        Information will be provided to each party on the basis of the        disclosure signature specified by one party for the other. If        the orders are compatible with one another, in addition to        information swapping, each party will be notified of the        potential of mutual interest.    -   4. ELFs allow for interaction between the trader (order room)        and the order. For example, the trader may specify the list of        umpires at which to contact the contras in the call list either        statically in the form of parameters included with the order        extension fields, or interactively in FIG. 24, steps 510-515.        The trader may receive the results of the discovery and indicate        to the ELF, interactively, what actions to take (see FIG. 27,        steps 655-660).

FIG. 101 illustrates how an active-side order ELF, oE 10, co-operateswith an order umpire, oU 30, and a community of order ELFs, representedby oE 12, in the inquiry form of negotiation. At step 4800, oE 12receives a limit order from order room 72. It will be appreciated thatthe limit order may include varying levels of disclosure, and, dependingon the call list for oE 12, the amount of information provided to otherorder ELFs may vary. See FIG. 21, step 410; FIG. 22, step 435; FIG. 23,step 470; and FIG. 24, step 505.

At step 4805, oE 12 determines that it should use the negotiation methodfor price discovery, and sends its price discovery request to oU 30. SeeFIG. 26, step 645. oU 30 reports to oE 12 that its order was booked. SeeFIG. 63, step 1238. At step 4810, oE 12 builds an empty action list,corresponding to just waiting for another party to respond to the priceoE 12 submitted to oU 30 in its price discovery request. See FIG. 24,step 535.

At step 4820, oU 30 receives the price discovery request from oE 12. Forthis example, assume that there are no other booked orders. Accordingly,oU 30 posts the order with its call list to its book. See FIG. 46, step1040; FIG. 59, step 1202; FIG. 61, step 1218; and FIG. 63, step 1237. Atstep 4830, oE 10 receives a limit order from order room 70. See FIG. 21,step 410; FIG. 22, step 435; FIG. 23, step 470; and FIG. 24, step 505.

At step 4835, oE 10 determines that it should use the negotiation methodfor price discovery, and sends its price discovery request to oU 30. SeeFIG. 26, step 645.

At step 4840, oU 30 receives the price discovery request from oE 10. oU30 determines that oE 12's posted order is compatible with oE 10'sactive side order. See FIG. 46, step 1040; FIG. 59, step 1202; FIG. 61,step 1218; and FIG. 63, step 1227.

At step 4845, oU 30 reports to each of the parties that a negotiationcould be fruitful and forwards the information permitted by the otherparty's disclosure list. See FIG. 63, step 1240. It will be appreciatedthat although this example shows only the order from oE 12 beingcompatible, in practice, many orders may be compatible.

At step 4850, oE 10 receives the response(s) to its discover request,which may be information such as “call Jane Broker at 212 111-1111 aboutorder 222-333” and “contact Bob@brokerage.com mentioning order ID12345,” as permitted by the disclosure lists of the order ELFs for JaneBroker and Bob. oE 10 then builds an action list, such as to report theresults to order room 70 when the response indicates that the contraparty wishes to negotiate outside the platform of system 5. See FIG. 24,step 535.

At step 4855, oE 10 sends the discover results to order room 70. SeeFIG. 24, step 545.

At step 4860, oE 12 receives the discover results as unsolicitedtraffic, and forwards the discover results to order room 72. See FIG.21, step 415; FIG. 32, step 745; and FIG. 41, step 965.

Use Case: Direct Negotiation

FIG. 102 illustrates an example of direct negotiation using system 5.Assume that oE 10 and oE 12 have submitted discover requests to oE 30 asdescribed above with regard to FIG. 108; however, instead of theinformation permitted to be disclosed indicating that the party wishesto negotiate outside system 5, the permitted disclosure information canbe used by the decision tables of oEs 10 and 12 to engage in automatedoffer and counter-offers. It will be appreciated that many negotiationstrategies are possible.

At step 4900, oU 30 reports to each of the parties that a negotiationcould be fruitful and forwards the information permitted by the otherparty's disclosure list. See FIG. 63, step 1240.

At step 4905, oE 12 receives the discover results as unsolicitedtraffic, and forwards the discover results to order room 72. See FIG.21, step 415; FIG. 32, step 745; and FIG. 41, step 965.

At step 4910, oE 10 receives the disclosure permitted by oE 12, such as“oE 12, minimum lot size 20,000 shares” and uses this information toprepare an initial automated offer. See FIG. 24, step 535. At step 4915,oE 10 sends its offer to oU 30 for routing to oE 12. See FIG. 24, step545.

At step 4920, oU 30 receives the offer from oE 10, and since it is aninitial offer, oU 30 enters the offer into its book. Although not shownin this example, in practice, subsequent offers or counter-offers madeby oE 10 will update the initial booked offer. See FIG. 46, step 1040;FIG. 59, step 1207; and FIG. 77, step 1657.

At step 4925, oE 12 receives the offer from oE 10, as forwarded by oU30. It will be appreciated that oE 10 may select the amount ofinformation to be disclosed to oE 12. In this example, assume that oE 12automatically decides to accept the offer as it is within the limitorder parameters received from order room 72 at step 4905. See FIG. 21,step 415; FIG. 32, step 735; FIG. 33, step 810; and FIG. 36, step 865.

At step 4930, oE 12 builds an action list comprising “accept price fromoE 10.” See FIG. 36, step 870. At step 4935, oE 12 acts upon its actionlist, and sends its price acceptance to oU See FIG. 36, step 875.

At step 4940, oU 30 receives the price acceptance from oE 12 andattempts to pair the offer with the acceptance. See FIG. 46, step 1040;FIG. 59, step 1203; FIG. 64C, step 1245; and FIG. 65, step 1258. At step4945, oU 30 asks oE 10 to affirm availability of the shares in the priceacceptance. Note that when oE 12 accepted the price offer from oE 10, oE12 became the active-side ELF. It will be appreciated that during anegotiation, the active-side party can change repeatedly. See FIG. 65,step 1262, and FIG. 68, step 1287.

At step 4950, oE 10 checks the availability of its shares, see FIG. 21,step 415; FIG. 32, step 735; FIG. 33, step 803; and FIG. 34, step 828;and at step 4955, oE 10 sends an affirmation of availability to oU 30.See FIG. 34, step 833.

At step 4960, oU 30 receives the affirmation from oE 10, see FIG. 68,step 1294, and at step 4965, oU 30 pairs the shares of oE 10's order andoE 12's acceptance, see FIG. 65, step 1275, and FIG. 70, step 1385. Atstep 4970, oU 30 sends a pairing report to each of oE 10 and oE 12, seeFIG. 70, step 1390.

At step 4975, oE 10 receives the pairing report, see FIG. 21, step 415;FIG. 32, step 742; and FIG. 39, step 890, and at step 4980, oE 10forwards the pairing report to order room 70, see FIG. 39, step 896.

At step 4985, oE 12 receives the pairing report, see FIG. 21, step 415;FIG. 32, step 742; and FIG. 39, step 890, and at step 4990, oE 12forwards the pairing report to order room 72, see FIG. 39, step 896.

It will be appreciated that negotiation can continue, that is, thedecision table for oE 10 can indicate that if an offer is accepted,another offer should be made at a close price, or the next result of thediscover request should be explored, and so on. In some cases, oE 10negotiates with multiple parties simultaneously, with each of theparties being used to pair some of the order represented by oE 10.

Use Case: Stop Order

FIG. 103 illustrates an example of stop order processing using system 5.At step 5100, oE 10 receives a stop order from order room 70. See FIG.21, step 410, FIG. 22, step 435, FIG. 23, step 470. At step 5405, oE 10decides to request the stop from oU 30. See FIG. 24, step 535 and FIG.27, step 690. At step 5410, oE 10 requests a stop from oU 30. See FIG.24, step 545 and FIG. 28, step 706.

At step 5415, oU 30 receives the stop request from oE 10. See FIG. 46,step 1040, and FIG. 59, step 1213. At step 5420, oU 30 ensures that itpermits stops (FIG. 83, step 1310). At step 5425, oU 30 asks platformservices 609 for notice when the stop expires (FIG. 83, step 1317). Atstep 5430, oU 30 sequesters the resource for the stop, such as byreserving shares or reserving purchasing power (FIG. 83, step 1319). Atstep 5435, oU 30 notifies oE 10 that the stop is granted (FIG. 83, step1320).

At step 5450, oE 10 receives the stop granted notice. See FIG. 21, step415, FIG. 32, step 740, and FIG. 37, steps 886-888. At step 5455, oE 10reports the stop granted notice to order room 70 (FIG. 38, step 560).

Meanwhile, at step 5440, platform services 60 receives the stopexpiration timing request from oU 30, and instantiates a stop ordermanager 67 process to fulfill the timing request (FIG. 7, step 3000). Atstep 5445, stop order manager 67 sets a timer (FIG. 7, step 3002). Inthis example, nothing occurs to adjust the timer. Accordingly, at step5495, stop order manager 67 sends notices to oU 30 and oE 10 that thestop has expired (FIG. 7, steps 3008 and 3010), and this instance ofstop order manager 67 terminates itself.

In this example, before the stop has expired, order room 70 decides toexercise the stop, and at step 5460, oE 10 receives a stop exerciseorder from order room 70. See FIG. 21, step 410, FIG. 22, step 435, andFIG. 23, step 470. At step 5465, oE 10 forwards the stop exercise orderto oU 30 (FIG. 24, steps 535 and 545).

At step 5470, oU 30 receives the stop exercise order. See FIG. 46, step1040 and FIG. 59, step 5350. At step 5475, oU 30 pairs the sequesteredresource with the stop exercise order (FIG. 64B, step 5370). At step5480, oU 30 sends pairing reports to the owner of the sequesteredresource and to oE 10 (FIG. 64B, step 5390).

At step 5485, oE 10 receives the pairing report. See FIG. 21, step 415and FIG. 32, step 742. At step 5490, oE 10 forwards the pairing reportto order room 70 (FIG. 39, step 898).

Sometime later, at step 5497, oU 30 receives the stop expiration noticefrom stop order manager 67 (FIG. 46, step 1045 and FIG. 84, step 1765).At step 5499, oE 10 receives the stop expiration notice from stop ordermanager 67 (FIG. 21, step 425 and FIG. 43, step 927).

Although an illustrative embodiment of the present invention, andvarious modifications thereof, have been described in detail herein withreference to the accompanying drawings, it is to be understood that theinvention is not limited to this precise embodiment and the describedmodifications, and that various changes and further modifications may beeffected therein by one skilled in the art without departing from thescope or spirit of the invention as defined in the appended claims.

What is claimed is:
 1. A computer-implemented method of facilitatingtrading, comprising: receiving, by one or more computing devices, a listof orders for different items, wherein the list of orders is receivedfrom a source, and wherein each order on the list of orders includes anitem and a respective price and quantity indicated by the source;determining, by one or more computing devices, whether all of the orderson the list of orders are executable at their respective prices, whereinsaid determining includes, for each order on the list of orders,evaluating whether the order is executable at a market for the item inthe order at its respective price based on a market price for the itemat the market; obtaining, by one or more computing devices, a short termoption for the item in at least one order on the list of orders toensure that the order is executable at its respective price, wherein theshort term option is a put or call option to sell or buy the item at aparticular price, wherein the short term option has a duration that ismeasured from grant of the short term option, and wherein the durationof the short term option is less than about twenty seconds; extending,by one or more computing devices, the duration of the short term optionsuch that, in response to determining that all of the orders on the listof orders are executable at their respective prices, the duration of theshort term option is lengthened; and executing all of the orders on thelist of orders when the determination is positive.
 2. The method ofclaim 1, wherein the list of orders is associated with an objectivefunction that comprises a plurality of legs, each leg including at leastone condition, and wherein said determining whether all of the orders onthe list of orders are executable includes determining whether the atleast one condition of each leg of the objective function is true. 3.The method of claim 1, wherein at least one of the orders is a trialorder, and when the trial order is executed, the method furthercomprises reducing the quantity indicated in the trial order to zero andexecuting the trial order for a zero quantity of the item.
 4. The methodof claim 1, wherein said executing includes notifying at least onemarket process of a pairing.
 5. The method of claim 1, furthercomprising advising the source of the list of orders that all of theorders on the list of orders have been executed.
 6. The method of claim1, wherein executing at least one of the orders on the list of ordersincludes exercising the short term option.
 7. The method of claim 1,further comprising advising the source of the list of orders that all ofthe orders on the list of orders were not executed when thedetermination is negative.
 8. The method of claim 1, wherein saidreceiving, determining, and extending are performed by a platformprocess configured to interact with a market process that is providingthe market.
 9. The method of claim 1, wherein the duration of the shortterm option is about one second or less measured from grant of the shortterm option.
 10. The method of claim 1, wherein the duration of theshort term option is about ten seconds or less measured from grant ofthe short term option.
 11. The method of claim 1, further comprisingobtaining unexpired short term options for the items in all of theorders on the list of orders, and executing all of the orders on thelist of orders by exercising the short term options only when the shortterm options for all of the orders are obtained.
 12. Acomputer-implemented method of facilitating trading, comprising:receiving, by one or more computing devices, a set of individual ordersfor joint execution as a linked order, wherein each of the individualorders includes an item and a respective price and quantity associatedtherewith; determining, by one or more computing devices, whether thelinked order should be executed, wherein said determining includes, foreach order in the linked order, evaluating whether the order isexecutable for the item in the order at its respective price at a marketbased on a market price for the item; obtaining, by one or morecomputing devices, a short term option for at least one order in thelinked order to ensure that the order is executable at its respectiveprice, wherein the short term option is a put or call option to sell orbuy the item at a particular price, wherein the short term option has aduration that is measured from grant of the short term option, andwherein the duration of the short term option is less than about twentyseconds; extending, by one or more computing devices, the duration ofthe short term option such that, in response to determining that thelinked order should be executed, the duration of the short term optionis lengthened; and sending the linked order to an execution process forexecution such that the individual orders are executed only if all ofthe individual orders are executable at the respective prices in theindividual orders.
 13. The method of claim 12, further comprisingobtaining discovery for the individual orders in the linked order, andwherein said determining is based on the obtained discovery.
 14. Themethod of claim 13, wherein the discovery is obtained from at least onemarket process.
 15. The method of claim 12, wherein said determiningincludes evaluating an objective function incorporating marketinformation for the individual orders in the linked order.
 16. Themethod of claim 15, wherein the objective function includes at least onecondition for each individual order, and wherein said determiningincludes evaluating how many of the conditions are satisfied, andcomparing the number of satisfied conditions with a threshold to decideif sufficient conditions are satisfied so that the linked order shouldbe executed.
 17. The method of claim 16, wherein the threshold is setsuch that satisfying some but not all of the conditions is sufficientfor the linked order to be executed.
 18. The method of claim 17, whereinthe condition for each individual order is that the order is executableat a market at its respective price.
 19. The method of claim 16, whereinthe threshold is set such that all of the conditions must be satisfiedfor the linked order to be executed.
 20. The method of claim 19, whereinthe condition for each individual order is that the order is executableat a market at its respective price.
 21. The method of claim 12, whereinthe execution process is part of a platform process configured tointeract with a market process that is providing the market.
 22. Themethod of claim 12, wherein the duration of the short term option isabout one second or less measured from grant of the short term option.23. The method of claim 12, wherein the duration of the short termoption is about ten seconds or less measured from grant of the shortterm option.
 24. The method of claim 12, further comprising obtainingunexpired short term options for all of the individual orders in thelinked order, and executing all of the orders in the linked order byexercising the short term options only when the short term options forall of the individual orders are obtained.
 25. A system configured tofacilitate trading, comprising: a computer processing component and amemory, wherein the processing component is configured to executeinstructions stored in the memory that cause the processing component toreceive, from a source, a list of orders, wherein each order on the listof orders has order parameters associated therewith, said orderparameters including an item, a price, and a quantity as indicated bythe source, wherein the processing component is further configured toexecute instructions stored in the memory that cause the processingcomponent to: determine whether all of the orders on the list of ordersare executable according to their respective order parameters including,for each order on the list of orders, evaluating whether the order isexecutable at a market at its respective price based on a market pricefor the item at the market; obtain a short term option for the item inat least one order on the list of orders to ensure that the order isexecutable at its respective price, wherein the short term option is aput or call option to sell or buy the item at a particular price,wherein the short term option has a duration that is measured from grantof the short term option, and wherein the duration of the short termoption is less than about twenty seconds; and if all of the orders onthe list of orders are executable, the processing component isconfigured to execute instructions stored in the memory that cause theprocessing component to extend the duration of the short term optionsuch that the duration of the short term option is lengthened.
 26. Thesystem of claim 25, wherein at least one of the orders on the list oforders is a trial order that, when executed, has its quantityautomatically reduced to zero and results in a pairing for a zeroquantity of the item.
 27. The system of claim 25, wherein for the atleast one order on the list of orders, the processing component isconfigured to execute the order by exercising the short term optionassociated with the order.
 28. The system of claim 25, wherein theduration of the short term option is about ten seconds or less measuredfrom grant of the short term option.
 29. The system of claim 25, whereinthe duration of the short term option is about one second or lessmeasured from grant of the short term option.
 30. The system of claim25, wherein the processing component is further configured to executeinstructions stored in the memory that cause the processing component toobtain unexpired short term options for the items in all of the orderson the list of orders, and to automatically execute all of the orders onthe list of orders by exercising the short term options only when theshort term options for all of the orders are obtained.
 31. Anon-transitory computer-accessible medium having executable instructionsstored thereon for facilitating trading, wherein the instructions, inresponse to execution by a computer, cause the computer to:automatically receive, from a source, a list of orders for differentitems, each order on the list of orders including an item and arespective price and quantity indicated by the source; automaticallydetermine whether all of the orders on the list of orders are executableat their respective prices, which includes, for each order on the listof orders, evaluating whether the order is executable at a market at itsrespective price based on a market price for the item at the market;automatically obtain a short term option for the item in at least oneorder on the list of orders to ensure that the order is executable atits respective price, wherein the short term option is a put or calloption to sell or buy the item at a particular price, wherein the shortterm option has a duration that is measured from grant of the short termoption, and wherein the duration of the short term option is less thanabout twenty seconds; automatically extend the duration of the shortterm option such that, in response to determining that all of the orderson the list of orders are executable at their respective prices, theduration of the short term option is lengthened; and automaticallyexecute all of the orders on the list of orders when the determinationis positive.
 32. The computer-accessible medium of claim 31, wherein thelist of orders is associated with an objective function comprising aplurality of legs, each leg including at least one condition, andwherein the instructions, when executed, further cause the computer toautomatically determine whether the at least one condition of each legof the objective function is true.
 33. The computer-accessible medium ofclaim 31, wherein at least one of the orders is a trial order, and whenthe trial order is executed, the instructions further cause the computerto automatically reduce the quantity indicated in the trial order tozero and execute the trial order for a zero quantity of the item. 34.The computer-accessible medium of claim 31, wherein, when automaticallyexecuting all of the orders on the list of orders, the instructionscause the computer to notify at least one market process of a pairing.35. The computer-accessible medium of claim 31, wherein executing atleast one of the orders on the list of orders includes exercising theshort term option.
 36. The computer-accessible medium of claim 31,wherein the instructions further cause the computer to automaticallyadvise the source of the list of orders that all of the orders on thelist of orders have been executed.
 37. The computer-accessible medium ofclaim 31, wherein the instructions further cause the computer toautomatically advise the source of the list of orders that all of theorders on the list of orders were not executed when the determination isnegative.
 38. The computer-accessible medium of claim 31, wherein theduration of the short term option is about ten seconds or less measuredfrom grant of the short term option.
 39. The computer-accessible mediumof claim 31, wherein the duration of the short term option is about onesecond or less measured from grant of the short term option.
 40. Thecomputer-accessible medium of claim 31, wherein the instructions furthercause the computer to obtain unexpired short term options for the itemsin all of the orders on the list of orders, and automatically executeall of the orders on the list of orders by exercising the short termoptions only when the short term options for all of the orders areobtained.
 41. A computer-implemented method of facilitating trading,comprising: submitting, via a computer, a set of individual orders forjoint execution as a linked order, wherein each of the individual ordersincludes an item and a respective price and quantity associatedtherewith; causing an order handling process operating on a computer todetermine whether the linked order should be executed, which includes,for each order in the linked order, evaluating whether the order isexecutable for the item in the order at its respective price at a marketbased on a market price for the item; obtaining a short term option forat least one order in the linked order to ensure that the order isexecutable at its respective price, wherein the short term option is aput or call option to sell or buy the item at a particular price,wherein the short term option has a duration that is measured from grantof the short term option, wherein the duration of the short term optionis less than time required for said order handling process to determinewhether the linked order should be executed and to execute the orders onthe list of orders; and extending, via a computer, the duration of theshort term option such that, in response to determining that the linkedorder should be executed, the duration of the short term option islengthened.
 42. The method of claim 41, wherein short term options areobtained for all of the individual orders in the linked order, themethod further comprising executing all of the orders in the linkedorder by exercising the short term options only when the short termoptions for all of the individual orders are obtained.